A practical and accessible introduction to numerical methods for stochastic differential equations is given. The reader is assumed to be familiar with Euler's method for deterministic differential ...

We consider the two-point boundary value problem for stiff systems of ordinary differential equations. For systems that can be transformed to essentially diagonally dominant form with appropriate ...

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 ...