Alternating direction implicit finite-difference method for financial engineering

• Main Author: Wang, Dong
• Other Authors: Tan Eng Leong
• Format: Theses and Dissertations
• Language: English
• Published: 2012
• Subjects: DRNTU::Engineering::Electrical and electronic engineering
• Online Access: http://hdl.handle.net/10356/50951
• Institution: Nanyang Technological University

Finite difference method (FDM) is widely used to solve partial differential equations (PDE), for example, heat equation is one of the most important differential equations in mathematical physics that can be solved by FDM. One great application of FDM is computational electromagnetic. Another import...