financialkit.pde_methods#
Explicit, implicit and Crank-Nicolson schemes with Rannacher smoothing, the Thomas algorithm, CFL and von Neumann stability, Richardson extrapolation and Tavella-Randall grids, the heat-equation transform and trinomial equivalence, barriers, American options by PSOR, Brennan-Schwartz and penalty, and Peaceman-Rachford ADI.
History
The foundational breakthroughs behind this subpackage, linked to the implementation.
Examples
Runnable tutorials and the full example gallery.
API reference
Every public class and function.