The Riccati Transformation Method for Linear Two Point Boundary Value Problems

Gunter H. Meyer

Chapter 3 in The Time-Discrete Method of Lines for Options and Bonds:A PDE Approach, 2015, pp 75-92 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The solution algorithm for two point boundary value problems to be employed here has been derived from different points of view and has had different names at different times. It has been called the method of invariant imbedding, a factorization method, a sweep method, and last but not least, a Riccati transformation method. Since Count Riccati's work in the early 18th century predates all other efforts we shall refer to our algorithm as the Riccati transformation method…

Keywords: Options; Bonds; PDE Formulation; Numerical Solution; Method of Lines; Stochastic Volatility; Jump Diffusion; Uncertain Parameters (search for similar items in EconPapers)
Date: 2015
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