Found 106 Documents (Results 1–100)
A three-step Simpson’s type exponentially-fitted backward difference method for the numerical solution of first order ordinary differential equations. (English) Zbl 1534.65099
On the convergence of a Crank-Nicolson fitted finite volume method for pricing european options under regime-switching Kou’s jump-diffusion models. (English) Zbl 1524.65455
Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities. (English) Zbl 1540.91094
Numerical simulation for European and American option of risks in climate change of Three Gorges Reservoir Area. (English) Zbl 1493.91143
Reviewer: Abdallah Bradji (Annaba)
An exact-interface-fitted mesh generator and linearity-preserving finite volume scheme for anisotropic elliptic interface problems. (English) Zbl 07536783
Fitted finite volume method for pricing European options under regime-swithching Merton’s jump-diffusion processes. (Chinese. English summary) Zbl 1513.91103
A Crank-Nicolson fitted finite volume method for pricing European options under regime switching. (English) Zbl 1474.65312
A modified Crank-Nicolson fitted finite volume method for American options under regime-switching jump-diffusion processes. (Chinese. English summary) Zbl 1474.65311
Fitted finite volume method for indifference pricing in an exponential utility regime-switching model. (English) Zbl 1460.91296
A robust numerical method for pricing American options under Kou’s jump-diffusion models based on penalty method. (English) Zbl 1475.91399
Numerical study of bubble rising motion in a vertical wedge-shaped channel based on a modified level set method. (English. Russian original) Zbl 1475.76107
Fluid Dyn. 55, No. 2, 241-251 (2020); translation from Izv. Ross. Akad. Nauk, Mekh. Zhidk. Gaza 2020, No. 2, 249-260 (2020).
Fitted finite volume method for pricing American options under regime-switching jump-diffusion models based on penalty method. (English) Zbl 1488.65337
Pricing American options under regime-switching model with a Crank-Nicolson fitted finite volume method. (English) Zbl 1470.91326
Reviewer: Paweł Kliber (Poznan)
A robust second order numerical method for a weakly coupled system of singularly perturbed reaction-diffusion problem with discontinuous source term. (English) Zbl 1453.65176
Valuation of European options with liquidity shocks switching by fitted finite volume method. (English) Zbl 1444.91219
Lirkov, Ivan (ed.) et al., Large-scale scientific computing. 12th international conference, LSSC 2019, Sozopol, Bulgaria, June 10–14, 2019. Revised selected papers. Cham: Springer. Lect. Notes Comput. Sci. 11958, 584-592 (2020).
Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method. (English) Zbl 1449.90170
MSC:
90B50
An empirical study of transboundary air pollution of the Beijing-Tianjin region. (English) Zbl 1437.49053
Modelling and computation for the valuation of two-period R&D projects by option games. (English) Zbl 1488.65574
A super-convergent unsymmetric finite volume method for convection-diffusion equations. (English) Zbl 1415.65243
A 3D non-hydrostatic model for wave interactions with structures using immersed boundary method. (English) Zbl 1519.76164
Fitted finite volume method of three transboundary pollution in Three Gorges Reservoir Area of Chongqing city with emission permits trading by cooperative stochastic differential game. (English) Zbl 1488.49041
A multistep method with optimal properties for second order differential equations. (English) Zbl 1384.65049
New two stages high order symmetric six-step method with vanished phase-lag and its first, second and third derivatives for the numerical solution of the Schrödinger equation. (English) Zbl 1384.65047
Modeling and computation of \(\mathrm{CO}_2\) allowance derivatives under jump-diffusion processes. (English) Zbl 1488.65361
Modeling and computation of mean field equilibria in producers’ game with emission permits trading. (English) Zbl 1473.91002
Block third derivative method based on trigonometric polynomials for periodic initial-value problems. (English) Zbl 1422.65105
Modeling and computation for stochastic optimal regime switching. (Chinese. English summary) Zbl 1363.49007
A fitted finite-volume method combined with the Lagrangian derivative for the weather option pricing model. (English) Zbl 1336.35327
Reviewer: Marin I. Marin (Braşov)
A fitted finite volume method for real option valuation of risks in climate change. (English) Zbl 1443.91325
A fitted numerical scheme for second order singularly perturbed delay differential equations via cubic spline in compression. (English) Zbl 1422.34213
A numerical method for singularly perturbed second order coupled system of convection-diffusion Robin type boundary value problems with discontinuous source term. (English) Zbl 1398.65183
Evaluation and modification of time splitting method applied to the fully dynamic numerical solution of water wave propagation. (English) Zbl 1370.76033
An O\((N^{-1}\ln n)^4\) parameter uniform difference method for singularly perturbed differential-difference equations. (English) Zbl 1337.65059
Agrawal, P. N. (ed.) et al., Mathematical analysis and its applications. Proceedings of the international conference on recent trends in mathematical analyis and its applications, ICRTMAA 2014, Roorkee, India, December 21–23, 2014. New Delhi: Springer (ISBN 978-81-322-2484-6/hbk; 978-81-322-2485-3/ebook). Springer Proceedings in Mathematics & Statistics 143, 299-308 (2015).
Positive numerical splitting method for the Hull and White 2D Black-Scholes equation. (English) Zbl 1319.91155
Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval. (English) Zbl 1287.65071
Reviewer: Gisbert Stoyan (Budapest)
A FEM for a system of singularly perturbed reaction-diffusion equations with discontinuous source term. (English) Zbl 1359.65132
Conservative and finite volume methods for the convection-dominated pricing problem. (English) Zbl 1305.65195
Numerical solution of singularly perturbed two point boundary value problems using exponentially fitted finite difference scheme. (English) Zbl 1408.65046
Boundary characteristic orthogonal polynomials for singularly perturbed problems. (English) Zbl 1254.65086
A fully discrete \(\varepsilon\)-uniform method for convection-diffusion problem on equidistant meshes. (English) Zbl 1250.65100
A fully discrete \(\epsilon \)-uniform method for singular perturbation problems on equidistant meshes. (English) Zbl 1245.65100
Reviewer: Kevin Burrage (Brisbane)
A new fully non-hydrostatic 3D free surface flow model for water wave motions. (English) Zbl 1419.76075
Numerical method for a singularly perturbed convection-diffusion problem with delay. (English) Zbl 1195.65089
Reviewer: Răzvan Răducanu (Iaşi)
A finite volume formulation for simulating drop motion in a viscoelastic two-phase system. (English) Zbl 1273.76292
Discretization of the Black-Scholes operator with a natural left-hand side boundary condition. (English) Zbl 1169.91360
MSC:
91B28
65M60
A three-dimensional non-hydrostatic vertical boundary fitted model for free-surface flows. (English) Zbl 1178.76246
Fitted fourth-order tridiagonal finite difference method for singular perturbation problems. (English) Zbl 1193.65125
A high accurate method for singular perturbation problem. (Chinese. English summary) Zbl 1164.65442
Asymptotic initial-value method for second-order singular perturbation problems of reaction-diffusion type with discontinuous source term. (English) Zbl 1153.65076
Reviewer: Vladimir Gorbunov (Ul’yanovsk)
An exponentially fitted special second-order finite difference method for solving singular perturbation problems. (English) Zbl 1122.65377
An asymptotic numerical method for singularly perturbed third-order ordinary differential equations with a weak interior layer. (English) Zbl 1126.65065
Reviewer: Pat Lumb (Chester)
Hybrid method for numerical solution of singularly perturbed delay differential equations. (English) Zbl 1120.65088
Reviewer: Fuhua Ling (Milpitas)
Obrechkoff one-step method fitted with Fourier spectrum for undamped Duffing equation. (English) Zbl 1196.65126
MSC:
65L12
\(\epsilon\) -uniformly convergent fitted methods for the numerical solution of the problems arising from singularly perturbed general ddes. (English) Zbl 1109.65067
Reviewer: Srinivasan Natesan (Assam)
Flow simulation on moving boundary-fitted grids and application to fluid-structure interaction problems. (English) Zbl 1320.76079
High order fitted operator numerical method for self-adjoint singular perturbation problems. (English) Zbl 1086.65079
Reviewer: Natesan Srinivasan (Assam)
Fitted mesh \(B\)-spline collocation method for solving self-adjoint singularly perturbed boundary value problems. (English) Zbl 1073.65062
Reviewer: M. Plum (Karlsruhe)
A novel fitted finite volume method for the Black-Scholes equation governing option pricing. (English) Zbl 1147.91332
Reviewer: Anatoliy Swishchuk (Calgary)
Asymptotic initial-value method for a system of singularly perturbed second-order ordinary differential equations of convection-diffusion type. (English) Zbl 1073.65067
Reviewer: M. Plum (Karlsruhe)
An exponentially fitted finite difference method for singular perturbation problems. (English) Zbl 1050.65075
Asymptotic numerical methods for singularly perturbed fourth-order ordinary differential equations of reaction-diffusion type. (English) Zbl 1054.65078
Reviewer: Kai Diethelm (Braunschweig)
An \(\varepsilon\)-uniform fitted operator method for solving boundary-value problems for singularly perturbed delay differential equations: Layer behavior. (English) Zbl 1045.65063
Reviewer: Guido Vanden Berghe (Gent)
On conditioning of a Schwarz method for singularly perturbed convection–diffusion equations in the case of disturbances in the data of the boundary-value problem. (English) Zbl 1040.65069
Reviewer: Pavol Chocholatý (Bratislava)
Asymptotic initial value methods for two-parameter singularly perturbed boundary value problems for second order ordinary differential equations. (English) Zbl 1033.65062
Reviewer: Pavol Chocholatý (Bratislava)
Improvement of numerical solution by boundary value technique for singularly perturbed one dimensional reaction diffusion problem. (English) Zbl 1034.65060
Reviewer: Eugene L. Allgower (Fort Collins)
A nonconforming combination of the finite element and volume methods with an anisotropic mesh refinement for a singularly perturbed convection-diffusion equation. (English) Zbl 1024.65109
Reviewer: Răzvan Răducanu (Iasi)
Computational methods for solving two-parameter singularly perturbed boundary value problems for second-order ordinary differential equations. (English) Zbl 1025.65046
“Shooting method” for the solution of singularly perturbed two-point boundary-value problems having less severe boundary layer. (English) Zbl 1035.65081
Reviewer: Patrick Habets (Louvain-La-Neuve)
A computational method are solving boundary value problems for third-order singularly perturbed ordinary differential equations. (English) Zbl 1025.65045
A numerical method for boundary value problems for singularly perturbed fourth-order ordinary differential equations. (English) Zbl 1025.65044
Dissipative exponentially-fitted methods for the numerical solution of the Schrödinger equation. (English) Zbl 1065.65089
“Booster method” for singularly perturbed Robin problems. II. (English) Zbl 0989.65074
Reviewer: Ziwen Jiang (Shandong)
An exponentially fitted enthalpy control volume algorithm for coupled fluid flow and heat transfer. (English) Zbl 1013.76051
A \(P\)-stable exponentially fitted method for the numerical integration of the Schrödinger equation. (English) Zbl 1023.65080
Schwarz domain decomposition for the incompressible Navier-Stokes equations in general co-ordinates. (English) Zbl 0965.76049
Numerical calculation of turbulent flow in symmetric two-dimensional diffusers. (English) Zbl 0968.76066
A finite volume particle-in-cell method for the numerical simulation of devices in pulsed-power technology. (English) Zbl 0954.76056
A numerical solution to the flow between eccentric rotating cylinders with a slotted sleeve. (English) Zbl 0959.76052
A “booster method” for singular perturbation problems arising in chemical reactor theory. (English) Zbl 0940.65081
Reviewer: V.V.Strygin (Voronezh)
On applications of high resolution shock capturing methods to unsteady flows. (English) Zbl 0962.76561
Toro, E. F. (ed.) et al., Numerical methods for wave propagation. Selected contributions from the workshop held in Manchester, GB, May 1995. Dordrecht: Kluwer Academic Publishers. Fluid Mech. Appl. 47, 145-171 (1998).
‘Shooting method’ for singular perturbation problems arising in chemical reactor theory. (English) Zbl 0933.65087
Reviewer: Laura-Iulia Aniţa (Iaşi)
Domain decomposition for the incompressible Navier-Stokes equations: Solving subdomain problems accurately and inaccurately. (English) Zbl 0915.76063
Computational method of second-moment turbulence closures in complex geometries. (English) Zbl 0845.76073
MSC:
76M25
76F10
A computational procedure for solving a chemical flow reactor problem using shooting method. (English) Zbl 0828.65101
Reviewer: D.Petcu (Timişoara)
An improvement of the exponential differencing scheme for solving the convection-diffusion equation. (English) Zbl 0811.65084
Exponentially fitted \(\theta\)-methods for singularly perturbed differential delay equations. (English) Zbl 0812.65058
A robust multigrid method for a discretization of the incompressible Navier–Stokes equations in general coordinates. (English) Zbl 0773.76053
MSC:
76M25
76D05
A multigrid method for an invariant formulation of the incompressible Navier-Stokes equations in general co-ordinates. (English) Zbl 0758.76057
Numerical simulation of laminar and turbulent flows around rectangular cylinders. (English) Zbl 0762.76084
Calculation procedure for unsteady incompressible 3 D flows in arbitrarily shaped domains. (English) Zbl 0761.76070
Numerical methods in fluid mechanics, Proc. 9th GAMM-Conf., Lausanne/Switz. 1991, Notes Numer. Fluid Mech. 35, 269-278 (1992).
MSC:
76M25
76D05
Computation of turbulent flows with complex boundaries. (English) Zbl 0759.76056
MSC:
76M25
76F10
On numerical solution of third-order boundary-value problems. (English) Zbl 0727.65069
Reviewer: E.Pfeifer (Dresden)
Numerical solution of quasilinear singularly perturbed ordinary differential equation without turning points. (English) Zbl 0735.34041
Reviewer: E.Pfeifer (Dresden)
A finite volume method for steady two-dimensional incompressible flows using nonstaggered non-orthogonal grids. (English) Zbl 0684.76042
Numerical methods in fluid mechanics, Proc. 7th GAMM-Conf., Louvain-La- Neuve/Belg. 1987, Notes Numer. Fluid Mech. 20, 191-198 (1988).
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