A Robust Spline Collocation Method for Pricing American Put Options
Discrete Dynamics in Nature and Society, 2019 In this paper a robust numerical method is proposed for pricing American put options. The Black-Scholes differential operator in the original form is discretized by using a quadratic spline collocation method on a piecewise uniform mesh for the spatial ...
Zhongdi Cen, Anbo Le, Aimin Xu
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Construction of positivity-preserving numerical method for stochastic SIVS epidemic model
Advances in Difference Equations, 2019 In this paper we propose the balanced implicit numerical techniques for maintaining the nonnegative path of the solution in stochastic susceptible–infected–vaccinated–susceptible (SIVS) epidemic model.
Wenrui Li, Qimin Zhang
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Boundary Value Problems, 2020 This paper deals with the iterative algorithm and the implementation of the spectral discretization of time-dependent Navier–Stokes equations in dimensions two and three.
Mohamed Abdelwahed +3 more
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The Penalty resolution of the spectral element discretization of the time dependent Darcy equations
Boundary Value ProblemsThe time-dependent Darcy system, when discretized in time using the implicit Euler scheme and in space using the spectral element method, can be efficiently solved using the penalty method.
Nejmeddine Chorfi +2 more
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A HODIE finite difference scheme for pricing American options
Advances in Difference Equations, 2019 In this paper, we introduce a new numerical method for pricing American-style options, which has long been considered as a very challenging problem in financial engineering.
Zhongdi Cen, Wenting Chen
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A novel mid-point upwind scheme for fractional-order singularly perturbed convection-diffusion delay differential equation [PDF]
Iranian Journal of Numerical Analysis and OptimizationThis study presents a numerical approach for solving temporal fractionalorder singularly perturbed parabolic convection-diffusion differential equations with a delay using a uniformly convergent scheme.
N.A. Endrie, G.F. Duressa
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A finite difference method for fractional diffusion equations with Neumann boundary conditions
Open Mathematics, 2015 A finite difference numerical method is investigated for fractional order diffusion problems in one space dimension. The basis of the mathematical model and the numerical approximation is an appropriate extension of the initial values, which incorporates
Szekeres Béla J., Izsák Ferenc
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An Efficient Implicit Scheme for the Multimaterial Euler Equations in Lagrangian Coordinates
Journal of Computational PhysicszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Simone Chiocchetti, Giovanni Russo
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On the Euler implicit/explicit iterative scheme for the stationary Oldroyd fluid
Numerical Methods for Partial Differential Equations, 2018 In this article, we consider the stationary Oldroyd fluid equations from the large time behavior research of the nonstationary equations. Thus, to obtain its numerical solution, we first solve the nonstationary Oldroyd fluid equations via the Euler implicit/explicit finite element method with the integral term discretized by the right‐hand rectangle ...
Yingwen Guo, Yinnian He
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Numerical Modeling of The Quorum Sensing In a Bacterial Biofilm
ESAIM: Proceedings and Surveys, 2018 In the present paper we propose a bi-dimensional non-linear reaction-diffusion model de-scribing the action of antibiotics as well as quorum sensing inhibitors agents on the virulence of bacteria biofilms.
Blouza A., El Alaoui L.
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