Related papers: Pricing Two-asset Options under Exponential L\'evy…
This paper is concerned with finite element approximations of $W^{2,p}$ strong solutions of second-order linear elliptic partial differential equations (PDEs) in non-divergence form with continuous coefficients. A nonstandard (primal)…
For the eigenvalue problem of the Steklov differential operator, by following Liu's approach, an algorithm utilizing the conforming finite element method (FEM) is proposed to provide guaranteed lower bounds for the eigenvalues. The proposed…
In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure $P$ and corresponding martingale measure $Q$ change to $\tilde{P}$ and $\tilde{Q}$ respectively. Then, we…
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…
Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or…
The Morley finite element method (FEM) is attractive for semilinear problems with the biharmonic operator as a leading term in the stream function vorticity formulation of 2D Navier-Stokes problem and in the von K\'{a}rm\'{a}n equations.…
Designing efficient and accurate numerical solvers for high-dimensional partial differential equations (PDEs) remains a challenging and important topic in computational science and engineering, mainly due to the "curse of dimensionality" in…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
We combine the parameterization method for invariant manifolds with the finite element method for elliptic PDEs,to obtain a new computational framework for high order approximation of invariant manifolds attached to unstable equilibrium…
We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential L\'evy models driven by one-sided stable or tempered stable processes. Pricing formulas take…
We consider bivariate piecewise polynomial finite element spaces for curved domains bounded by piecewise conics satisfying homogeneous boundary conditions, construct stable local bases for them using Bernstein-B\'ezier techniques, prove…
In this work, we develop variational formulations of Petrov-Galerkin type for one-dimensional fractional boundary value problems involving either a Riemann-Liouville or Caputo derivative of order $\alpha\in(3/2, 2)$ in the leading term and…
We consider the design of structure-preserving discretization methods for the solution of systems of boundary controlled Partial Differential Equations (PDEs) thanks to the port-Hamiltonian formalism. We first provide a novel general…
In this study we construct a time-space finite element (FE) scheme and furnish cost-efficient approximations for one-dimensional multi-term time fractional advection diffusion equations on a bounded domain $\Omega$. Firstly, a fully…
Obtaining high-precision guaranteed lower eigenvalue bounds remains difficult, even though the standard high-order conforming finite element (FEM) easily yields extremely sharp upper bounds. Recently developed rigorous approaches using such…
his paper presents finite element methods for solving numerically the Risk-Adjusted Pricing Methodology (RAPM) Black-Scholes model for option pricing with transaction costs. Spatial finite element models based on P1 and/or P2 elements are…
This paper studies a model of two-phase flow with an immersed material viscous interface and a finite element method for numerical solution of the resulting system of PDEs. The interaction between the bulk and surface media is characterized…
In this paper, we deal with numerical approximations for solving the Black-Scholes Partial Differential Equation (PDE). This PDE is well known to be degenerated. The space discretization is performed using the classical finite volume method…
We introduce the multivariate decomposition finite element method for elliptic PDEs with lognormal diffusion coefficient $a=\exp(Z)$ where $Z$ is a Gaussian random field defined by an infinite series expansion $Z(\boldsymbol{y}) =…
This work consists in two parts. The first part is a review of the finite element method (FEM) for one and two-dimensional problems. The second part, concerns the application of the FEM to find numerical solutions of the Stokes equation and…