Kagraoka, Yusho - In: International Journal of Financial Studies : open … 8 (2020) 4/77, pp. 1-13
differential equation (PDE) with mixed derivatives in more than two space dimensions. Alternating direction implicit (ADI) finite … employ the ADI method for solving a PDE with mixed derivatives. The aim of this study is to find out which numerical method … would be appropriate to solve PDEs with mixed derivatives based on the accuracy of the solutions and the computation time …