Numerical valuation of Bermudan basket options via partial differential equations.
Karel J. in 't HoutJacob SnoeijerPublished in: Int. J. Comput. Math. (2021)
Keyphrases
- partial differential equations
- finite difference
- numerical methods
- numerical algorithms
- finite difference method
- solving partial differential equations
- level set
- anisotropic diffusion
- numerical solution
- image denoising
- image processing
- image enhancement
- differential equations
- fourth order
- multiscale
- curve evolution
- mathematical morphology
- energy functional
- sensitivity analysis
- problems in image processing
- numerical scheme
- numerical analysis
- high order
- heat equation
- image segmentation
- conservation laws
- real option
- denoising
- diffusion equation
- difference equations
- diffusion process
- image restoration
- image compression
- ambrosio tortorelli
- lattice boltzmann
- image analysis