In the current low rates environment, the classic stochastic alpha beta rho (SABR) formula used to compute option-implied volatilities leads to arbitrages. In "Arbitrage free SABR", Hagan et al ...
A Second-Order Accurate Linearized Difference Scheme for the Two- Dimensional Cahn-Hilliard Equation
The Cahn-Hilliard equation is a nonlinear evolutionary equation that is of fourth order in space. In this paper a linearized finite difference scheme is derived by the method of reduction of order. It ...
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