Numerical valuation of Bermudan basket options via partial differential equations.
Karel J. in 't HoutJacob SnoeijerPublished in: CoRR (2019)
Keyphrases
- partial differential equations
- finite difference
- numerical methods
- numerical algorithms
- finite difference method
- solving partial differential equations
- anisotropic diffusion
- image denoising
- level set
- image processing
- numerical solution
- image enhancement
- problems in image processing
- energy functional
- differential equations
- mathematical morphology
- fourth order
- diffusion equation
- numerical scheme
- high order
- heat equation
- numerical analysis
- multiscale
- nonlinear partial differential equations
- sensitivity analysis
- image analysis
- diffusion process
- level set method
- nonlinear diffusion
- total variation
- image restoration
- difference equations
- higher order
- conservation laws
- pattern recognition
- similarity measure
- image segmentation