Search Results - subject:"method of lines"

The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach

Chiarella, Carl; Kang, Boda - Finance Discipline Group, Business School - 2009

Method of Lines. …

Persistent link: https://www.econbiz.de/10004984506

An Analysis of American Options under Heston Stochastic Volatility and Jump-Diffusion Dynamics

Cheang, Gerald; Chiarella, Carl; Ziogas, Andrew - Finance Discipline Group, Business School - 2009

This paper considers the problem of pricing American options when the dynamics of the underlying are driven by both stochastic volatility following a square root process as used by Heston (1993), and by a Poisson jump process as introduced by Merton (1976). Probability arguments are invoked to...

Persistent link: https://www.econbiz.de/10008492104

The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines

Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, … - Finance Discipline Group, Business School - 2008

of the type originally introduced by Merton (1976). We develop a method of lines algorithm to evaluate the price as well … gamma to the same level of accuracy for a given computational effort then the method of lines seems to perform best amongst … Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines Carl Chiarella, Boda Kang, Gunter H Meyer, and …

Persistent link: https://www.econbiz.de/10004987159

Finite Difference Approximation for Linear Stochastic Partial Differential Equations with Method of Lines

McDonald, Stuart - Volkswirtschaftliche Fakultät, … - 2006

-time continuum. This paper provides a new method for solving SPDEs based on the method of lines (MOL). MOL is a technique that has …

Persistent link: https://www.econbiz.de/10005837318

Modelling variable density flow problems in heterogeneous porous media using the method of lines and advanced spatial discretization methods

Younes, A.; Konz, M.; Fahs, M.; Zidane, A.; Huggenberger, P. - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 10, pp. 2346-2355

Modelling variable density flow problems under heterogeneous porous media conditions requires very long computation time and high performance equipments. In this work, the DASPK solver for temporal resolution is combined with advanced spatial discretization schemes in order to improve the...

Persistent link: https://www.econbiz.de/10010869886

Travelling waves in a reaction-diffusion model for electrodeposition

Bozzini, Benedetto; Lacitignola, Deborah; Sgura, Ivonne - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 5, pp. 1027-1044

approximation of the PDE system is performed by the Method of Lines (MOL) based on high order space semi-discretization by means of …

Persistent link: https://www.econbiz.de/10010870616

Stability of the modified Craig–Sneyd scheme for two-dimensional convection–diffusion equations with mixed derivative term

in 't Hout, K.J.; Mishra, C. - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 11, pp. 2540-2548

The modified Craig–Sneyd (MCS) scheme is a promising splitting scheme of the ADI type for multi-dimensional pure diffusion equations having mixed spatial-derivative terms. In this paper we investigate the extension of the MCS scheme to two-dimensional convection–diffusion equations with a...

Persistent link: https://www.econbiz.de/10011050601

DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS

BOYARCHENKO, MITYA; BOYARCHENKO, SVETLANA - In: International Journal of Theoretical and Applied … 14 (2011) 07, pp. 1005-1043

We present a very fast and accurate algorithm for calculating prices of finite lived double barrier options with arbitrary terminal payoff functions under regime-switching hyper-exponential jump-diffusion (HEJD) models, which generalize the double-exponential jump-diffusion model pioneered by...

Persistent link: https://www.econbiz.de/10009393848

Double barrier options in regime-switching hyper-exponential jump-diffusion models

Boyarchenko, Mitya; Bojarčenko, Svetlana I. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1005-1043

Persistent link: https://www.econbiz.de/10009407678

On the numerical approximation of a degenerated hyperbolic system

Strömgren, Magnus; Hanke, Michael - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 5, pp. 1585-1602

-dependent boundary conditions. We propose a method-of-lines discretisation by using an upwinding scheme. We derive stability estimates …

Persistent link: https://www.econbiz.de/10011050505