Results 51 to 60 of about 163 (150)
On an Implementation of α-Subordinated Brownian Motion and Option Pricing with and without Transaction Costs via CAS MATHEMATICA [PDF]
, 2015 [Slavova Angela; Славова Анжела]; [Kyurkchiev Nikolay; Кюркчиев Николай]In this we suppose that the underlying of the option contract is driven by a subordinated geometric Brownian motion.
Slavova, Angela, Kyrkchiev, Nikolay
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Results in Applied MathematicsWe develop and analyse a barrier-aligned Chebyshev integral tau method for pricing double-barrier and rebate options under the Black–Scholes model. The two barriers define the computational corridor exactly, and the interior strike kink of the payoff is ...
Edson Pindza +1 more
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Well-posedness and maximum principles for lattice reaction-diffusion equations
Advances in Nonlinear Analysis, 2017 Existence, uniqueness and continuous dependence results together with maximum principles represent key tools in the analysis of lattice reaction-diffusion equations.
Slavík Antonín +2 more
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Results in Applied MathematicsThis paper presents a localized meshless numerical technique for solving the distributed-order time-fractional advection–diffusion equation (DO-TFADE). The distributed-order fractional term is first approximated by the Gauss–Legendre quadrature formula ...
Omid Nikan
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, 2018 In this paper, we have generalized the fractional cubic isothermal auto-catalytic chemical system (FCIACS) with Liouville-Caputo, CaputoFabrizio-Caputo, and Atangana-Baleanu-Caputo fractional time derivatives, respectively. We apply the Homotopy Analysis
Khaled M. Saad, J. F. Gomez-Aguilar
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Uniformly convergent extended cubic B-spline collocation method for two parameters singularly perturbed time-delayed convection-diffusion problems. [PDF]
BMC Res Notes, 2023 Negero NT.
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, 2013 This work is concerned with spectral Jacobi-collocation methods for Volterra integral equations of the second kind with a weakly singular of the form (t − s) −α . When the underlying solutions are sufficiently smooth, the convergence analysis was carried
Xianjuan Li, Tao Tang, Yanping Chen
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THE MESHLESS KERNEL-BASED METHOD OF LINES FOR PARABOLIC EQUATIONS [PDF]
, 2014 Abstra t. Using the heat equation as a simple example, we give a rigid theoreti al analysis of the Method of Lines, implemented as a meshless method based on spatial trial spa es spanned by translates of positive denite kernels.
M. Zhong +5 more
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Physics OpenModeling cell invasion, vital for cancer and ecological research, demands efficient solutions to the Fisher–Kolmogorov–Petrovsky–Piskunov (Fisher–KPP) reaction–diffusion partial differential equation (PDE).
Parsa Rahbari +4 more
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Interface-aligned Chebyshev integral-tau methods for occupation-time and Parisian option pricing
Frontiers in Applied Mathematics and StatisticsWe develop and analyse a multidomain Chebyshev integral-tau method for occupation-time and cumulative-Parisian options, priced through a two-dimensional degenerate-parabolic equation in log-price and accumulated occupation time in which the monitoring ...
Edson Pindza +1 more
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