It is the Heston PDE with an implicit Euler discretization in time.

<t>I am working on the discretization of a PDE which involves second mixed derivatives. I found the standard finite difference discretization:[f(x+h,y+k) - f(x+h,y-k) - f(x-h,y+k) + f(x-h,y-k)]/4hkHowever, this is said to be instable. Therefore, I am looking for an upwind scheme similar to the ones ...

<t>Thanks a lot for your hints. But I haven't understood, why simple pointers likedouble* pointer = new double[N]//source codedelete pointer;can pose that many problems. Have I understood it correctly that using the STL vector class can help overcome those problems?And then I am experiencing another...

<t>Thanks a lot. I have finally figured out how to get a program running.But that raises another question. In my Monte Carlo simulation I am encoutering run-time errors every time I start the program. Then I found out that it can be avoided if I replace the pointers in my C++ program by standard arr...

<t>I am a PhD student, which explains the use of the antiquated software...I think the main problem in my case is the .def file. Where do I have to put this file in my Visual C++ project? And of which type is this file? Is it a text file? In the menu I cannot choose .def file. And then how can I tel...

<t>Hello there.I am having huge problems in creating an Excel add-in using my C++ code from Visual Studio 6. Actually I have a completely running C++ program and I can create a .dll and an Excel add-in. However, when calling the function from within Excel (the function is known to Excel) it does not...

<t>Hello everybody.I am wondering if there are any numerical methods to solve an optimal stopping problem in continuous time. I have been searching literature and the internet for quite a while now but I can only find mathematical books and articles on the theory of optimal stopping.So if anyone can...