Results 261 to 270 of about 31,508 (275)

Robust High-Precision Option Pricing by Fourier Transforms: Contour Deformations and Double-Exponential Quadrature

SSRN Electronic Journal, 2018
While the idea of pricing options by Fourier methods has been around for more than two decades, the numerical evaluation of the necessary semi-infinite Fourier style integrals remains a challenging problem. Existing methods in the literature frequently lack robustness, and in practice often result in disappointing precision, especially when the ...
Leif B.G. Andersen, Mark Lake
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Numerical solution of variable-order fractional integro-partial differential equations via Sinc collocation method based on single and double exponential transformations

Communications in Nonlinear Science and Numerical Simulation, 2020
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Afshin Babaei, Behrouz Parsa Moghaddam, Seddigheh Banihashemi, José António Tenreiro Machado   +3 more
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A formally second‐order backward differentiation formula Sinc‐collocation method for the Volterra integro‐differential equation with a weakly singular kernel based on the double exponential transformation

Numerical Methods for Partial Differential Equations, 2020
AbstractThis paper presents a formally second‐order backward differentiation formula (BDF2) Sinc‐collocation method for solving the Volterra integro‐differential equation with a weakly singular kernel. In the time direction, the time derivative is discretized via the BDF2 and the second‐order convolution quadrature rule is used to approximate the ...
Wenlin Qiu, Da Xu, Jing Guo
openaire   +2 more sources

Hilbert transform and exponential integral estimates of rectangular sums of double Fourier series

Sbornik: Mathematics, 1996
Summary: A new integral estimate for rectangular partial sums of double Fourier series is obtained. The main result of the paper is the following. Theorem: For any \(f\in L\log L(\mathbb{T}^2)\) and \(\delta>0\) there exists a set \(E_{\delta,f}\in\mathbb{T}^2\), \(|E_{\delta,f}|>(2\pi)^2-\delta\) such that \[ \int_{E_{\delta,f}}\exp\Biggl[{c_1\delta ...
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Exponential difference schemes with double integral transformation for solving convection-diffusion equations

Mathematical Models and Computer Simulations, 2013
Convection-diffusion equations are studied. These equations are used for describing many nonlinear processes in solids, liquids, and gases. Although many works deal with solving them, they are still challenging in terms of theoretical and numerical analysis. In this work, the grid approach based on the method of finite differences for solving equations
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Numerical approximation of heat run test results of transformers by means of double exponential and power functions

IEE Proceedings C Generation, Transmission and Distribution, 1992
Two methods of estimating the average oil temperature rise inside a winding are presented. The first method is based on a differential equation of the nonlinear cooling of a uniform body. The second method is a modification of a graphical method given in IEC Publication 76-2 (1976).
openaire   +1 more source

A formally second‐order backward differentiation formula Sinc‐collocation method for the Volterra integro‐differential equation with a weakly singular kernel based on the double exponential transformation

Numerical Methods for Partial Differential Equations, 2022
Wenlin Qiu, Da Xu, Jing Guo
exaly  

Double exponential transformation for computing three-center nuclear attraction integrals

Molecular Physics, 2020
Hassan Safouhi
exaly  

Heston….Again?! Robust High‐Precision Option Pricing by Fourier Transforms: Contour Deformations and Double‐Exponential Quadrature

Wilmott, 2019
Leif B. G. Andersen, Mark Lake
openaire   +1 more source

Interval Estimation for the Two-parameter Double Exponential Distribution

Technometrics, 1973
Lee J Bain, Max Engelhardt
exaly