Related papers: A Fitted Multi-Point Flux Approximation Method for…
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…
In this paper, we introduce a special kind of finite volume method called Multi-Point Flux Approximation method (MPFA) to price European and American options in two dimensional domain. We focus on the L-MPFA method for space discretization…
We construct Two-Point Flux Approximation (TPFA) finite volume schemes to solve the quadratic optimal transport problem in its dynamic form, namely the problem originally introduced by Benamou and Brenier. We show numerically that these…
We address an original approach for the convergence analysis of a finite-volume scheme for the approximation of a stochastic diffusion-convection equation with multiplicative noise in a bounded domain of $\mathbb{R}^d$ (with $d=2$ or $3$)…
This article presents a finite element method (FEM) for a partial integro-differential equation (PIDE) to price two-asset options with underlying price processes modeled by an exponential Levy process. We provide a variational formulation…
This paper concerns the numerical valuation of swing options with discrete action times under a linear two-factor mean-reverting model with jumps. The resulting sequence of two-dimensional partial integro-differential equations (PIDEs) are…
Simulating the deformation of fractured media requires the coupling of different models for the deformation of fractures and the formation surrounding them. We consider a cell-centered finite-volume approach, termed the multipoint stress…
This article presents a new finite element method for convection-diffusion equations by enhancing the continuous finite element space with a flux space for flux approximations that preserve the important mass conservation locally on each…
Numerous infinite dimensional dynamical systems arising in different fields have been shown to exhibit a gradient flow structure in the Wasserstein space. We construct Two Point Flux Approximation Finite Volume schemes discretizing such…
We give a unified introduction to the MPFA- and MPSA-type finite volume methods for Darcy flow and poro-elasticity, applicable to general polyhedral grids. This leads to a more systematic perspective of these methods than has been exposed…
In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American…
We discuss in this note applications of the Multidimensional Positive Definite Advection Transport Algorithm (MPDATA) to numerical solutions of partial differential equations arising from stochastic models in quantitative finance. In…
We propose a new unfitted finite element method for simulation of two-phase flows in presence of insoluble surfactant. The key features of the method are 1) discrete conservation of surfactant mass; 2) the possibility of having meshes that…
We study the numerical approximation of a class of degenerate parabolic stochastic partial differential equations on non-compact metric graphs, which naturally arise in the asymptotic analysis of Hamiltonian flows under small noise…
In this paper, we discuss a simple yet robust PDE method for evaluating path-dependent Asian-style options using the non-oscillatory forward-in-time second-order MPDATA finite-difference scheme. The valuation methodology involves casting…
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite…
In this research, we proposed a Mean Convection Finite Difference Method (MCFDM) for European options pricing. The Black-Scholes model, which describes the dynamics of a financial asset, was first transformed into a convection-diffusion…
In this paper, a symmetrized two-scale finite element method is proposed for a class of partial differential equations with symmetric solutions. With this method, the finite element approximation on a fine tensor product grid is reduced to…
We consider a finite element method with symmetric stabilisation for the discretisation of the transient convection--diffusion equation. For the time-discretisation we consider either the second order backwards differentiation formula or…
This article presents a high order conservative flux optimization (CFO) finite element method for the elliptic diffusion equations. The numerical scheme is based on the classical Galerkin finite element method enhanced by a flux…