Pricing TARN Using a Finite Difference Method [PDF]
arXiv, 2013 Typically options with a path dependent payoff, such as Target Accumulation Redemption Note (TARN), are evaluated by a Monte Carlo method. This paper describes a finite difference scheme for pricing a TARN option. Key steps in the proposed scheme involve tracking of multiple one-dimensional finite difference solutions, application of jump conditions at
arxiv
A class of Finite difference Methods for solving inhomogeneous damped wave equations [PDF]
arXiv, 2020 In this paper, a class of finite difference numerical techniques is presented to solve the second-order linear inhomogeneous damped wave equation. The consistency, stability, and convergences of these numerical schemes are discussed. The results obtained are compared to the exact solution, ordinary explicit, implicit finite difference methods, and the ...
arxiv
Вестник Дагестанского государственного технического университета: Технические науки, 2016 The resolving equations of finite element method for the problem of bending of three-layer flexible plate taking into account creep were obtained. These equations are valid for arbitrary laws of connection between creep strain and stress. In deriving the
B. M. Yazyev +3 more
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Binary black hole simulation with an adaptive finite element method II: Application of local discontinuous Galerkin method to Einstein equations [PDF]
arXiv, 2018 Finite difference method and pseudo-spectral method have been widely used in the numerical relativity to solve the Einstein equations. As the third major category method to solve partial differential equations, finite element method is much less used in numerical relativity. In this paper we design a finite element algorithm to solve the evolution part
arxiv
Using finite difference method to simulate casting thermal stress [PDF]
China Foundry, 2011 Thermal stress simulation can provide a scientific reference to eliminate defects such as crack, residual stress centralization and deformation etc., caused by thermal stress during casting solidification.
Liao Dunming, Zhang Bin, Zhou Jianxin
doaj
Numerical Methods for the Stray-Field Calculation: A Comparison of recently developed Algorithms [PDF]
, 2012 Different numerical approaches for the stray-field calculation in the context of micromagnetic simulations are investigated. We compare finite difference based fast Fourier transform methods, tensor grid methods and the finite-element method with shell transformation in terms of computational complexity, storage requirements and accuracy tested on ...
arxiv +1 more source
An iterative finite-difference method for hyperbolic systems [PDF]
, 1969 Saul Abarbanel, Gideon Zwas
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Vortical flow of incompressible viscous fluid in finite cylinder
Mathematical Modelling and Analysis, 2008 The effective use of vortex energy in production of strong velocity fields by different devices is one of the modern areas of applications, developed during the last decade.
Harijs Kalis, Ilmārs Kangro
doaj +1 more source
On the monotonicity and discrete maximum principle of the finite difference implementation of $C^0$-$Q^2$ finite element method [PDF]
arXiv, 2019 We show that the fourth order accurate finite difference implementation of continuous finite element method with tensor product of quadratic polynomial basis is monotone thus satisfies the discrete maximum principle for solving a scalar variable coefficient equation $-\nabla\cdot(a\nabla u)+cu=f$ under a suitable mesh constraint.
arxiv
A fitted finite volume method for stochastic optimal control Problems [PDF]
arXiv, 2020 In this article, we provide a numerical method based on fitted finite volume method to approximate the Hamilton-Jacobi-Bellman (HJB) equation coming from stochastic optimal control problems. The computational challenge is due to the nature of the HJB equation, which may be a second-order degenerated partial differential equation coupled with ...
arxiv