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 ...

This is a preview. Log in through your library . Abstract This paper concerns the application of a finite element method to the numerical solution of a nonrestricted form of the Plateau problem, as ...

The IT revolution is being unleashed on a day-to-day basis. Apart from intelligent programmes being written to perform various automation tasks, there is a whole spectrum of utilities that has made ...

Recent Intel® enhancements to Java enable faster and better numerical computing. In particular, the Java Virtual Machine (JVM) now uses the Fused Multiply Add (FMA) instructions on Intel Intel Xeon® ...

This is a preview. Log in through your library . Abstract Using the basis reduction algorithm of A. K. Lenstra, H. W. Lenstra, Jr. and L. Lovász [8] and an idea of Buchmann [4], we describe a method ...