Stability of the modified Craig–Sneyd scheme for two-dimensional convection–diffusion equations with mixed derivative term

ADI finite difference schemes for option pricing in the Heston model\n with correlation

Karel in ’t Hout, S. Foulon · arXiv (Cornell University) · 2008 · 181 citations · Full text

An alternating-direction implicit scheme for parabolic equations with mixed derivatives

I. J. D. Craig, A. D. Sneyd · Computers & Mathematics with Applications · 1988 · 138 citations

Numerical Analysis, Mixed Derivatives, Semi-implicit Method +5

Operator splitting methods for pricing American options under stochastic volatility

Samuli Ikonen, Jari Toivanen · Numerische Mathematik · 2009 · 130 citations

Option Pricing, Multivariate Stochastic Volatility, Engineering +7

Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms

Karel J. in ’t Hout, Bruno D. Welfert · Applied Numerical Mathematics · 2008 · 105 citations

Numerical Analysis, Engineering, Unconditional Stability +7

Stability of ADI schemes applied to convection–diffusion equations with mixed derivative terms

K.J. in 't Hout, Bruno D. Welfert · Applied Numerical Mathematics · 2006 · 104 citations

Numerical Analysis, Engineering, Adi Schemes +6