If the SINGLE option is not used, PROC MODEL computes values that simultaneously satisfy the model equations for the variables named in the SOLVE statement. PROC MODEL provides three iterative methods ...
SIAM Journal on Numerical Analysis, Vol. 54, No. 5 (2016), pp. 2750-2774 (25 pages) We consider robust iterative methods for discontinuous Galerkin (DG) H(div, Ω)-conforming discretizations of the ...
In this paper we introduce two methods for the efficient and accurate numerical solution of Black–Scholes models of American options: a penalty method and a front-fixing scheme. In the penalty ...
General aspects of polynomial interpolation theory. Formulations in different basis, e.g. Lagrange, Newton etc. and their approximation and computational properties ...
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