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A robust spectral method for pricing of American put options on zero-coupon bonds
(Global-Science Press, 2018)
American put options on a zero-coupon bond problem is reformulated as a
linear complementarity problem of the option value and approximated by a nonlinear
partial differential equation. The equation is solved by an ...
A fitted numerical method for parabolic turning point singularly perturbed problems with an interior layer
(Wiley, 2019)
The objective of this paper is to construct and analyzea fitted operator finite difference method (FOFDM) forthe family of time-dependent singularly perturbed parabolicconvection–diffusion problems. The solution to the ...