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Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options
(Kent State University, 2013)
In this paper we present a robust numerical method to solve several types of European style option pricing problems. The governing equations are described by variants of Black-Scholes partial differential equations (BS-PDEs) ...
A fitted numerical method for singularly perturbed parabolic reaction-diffusion problems
(Spring Verlag, 2013)
This paper treats a time-dependent singularly perturbed reaction-diffusion problem. We semidiscretize the problem in time by means of the classical backward Euler method. We develop a fitted operator finite difference ...
Contour integral method for European options with jumps
(Elsevier, 2013)
We develop an efficient method for pricing European options with jump on a single asset. Our approach is based on the combination of two powerful numerical methods, the spectral domain decomposition method and the Laplace ...
An unconditionally stable nonstandard finite difference method applied to a mathematical model of HIV infection
(De Gruyter Open, 2013)
We formulate and analyze an unconditionally stable nonstandard finite difference method for a mathematical model of HIV
transmission dynamics. The dynamics of this model are studied using the qualitative theory of dynamical ...