Related papers: Compact Finite Difference Scheme with Hermite Inte…
This paper is devoted to the analysis of a numerical scheme based on the Finite Element Method for approximating the solution of Koiter's model for a linearly elastic elliptic membrane shell subjected to remaining confined in a prescribed…
It is well known that the Black-Scholes-Merton model suffers from several deficiencies. Jump-diffusion and Levy models have been widely used to partially alleviate some of the biases inherent in this classical model. Unfortunately, the…
Following the recent great advance of quantum computing technology, there are growing interests in its applications to industries, including finance. In this paper, we focus on derivative pricing based on solving the Black-Scholes partial…
Binomial tree methods (BTM) and explicit difference schemes (EDS) for the variational inequality model of American options with time dependent coefficients are studied. When volatility is time dependent, it is not reasonable to assume that…
This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option…
We examine interpolatory model reduction methods that are well-suited for treating large scale port-Hamiltonian differential-algebraic systems in a way that is able to preserve and indeed, take advantage of the underlying structural…
We provide a bound for the error committed when using a Fourier method to price European options when the underlying follows an exponential \levy dynamic. The price of the option is described by a partial integro-differential equation…
In the present paper, we introduce a numerical scheme for the price of a barrier option when the price of the underlying follows a diffusion process. The numerical scheme is based on an extension of a static hedging formula of barrier…
We consider the approximation scheme of the American call option via the discrete Morse semiflow. It is the minimizing scheme of a time-semidiscretized variational functional. In this paper we obtain a rate of convergence of approximate…
This work is concerned with spectral collocation methods for fractional PDEs in unbounded domains. The method consists of expanding the solution with proper global basis functions and imposing collocation conditions on the Gauss-Hermite…
In American options, the early exercise feature allows the option to be exercised at any time prior to expiration. However, this flexibility introduces a challenge: the pricing model must value the option while simultaneously determining an…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
We compute minimal bases of solutions for a general interpolation problem, which encompasses Hermite-Pad\'e approximation and constrained multivariate interpolation, and has applications in coding theory and security. This problem asks to…
We construct a new compact semi-explicit three-level in time fourth-order finite-difference scheme for numerical solving the general multidimensional acoustic wave equation, where both the speed of sound and density of a medium are…
In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying…
An adaptive parametric reduced-order modeling method based on interpolating poles of reduced-order models is proposed in this paper. To guarantee correct interpolation, a pole-matching process is conducted to determine which poles of two…
We present a sparse grid high-order alternating direction implicit (ADI) scheme for option pricing in stochastic volatility models. The scheme is second-order in time and fourth-order in space. Numerical experiments confirm the…
In this paper, a meshless Hermite-HDMR finite difference method is proposed to solve high-dimensional Dirichlet problems. The approach is based on the local Hermite-HDMR expansion with an additional smoothing technique. First, we introduce…
The accuracy and effectiveness of Hermite spectral methods for the numerical discretization of partial differential equations on unbounded domains, are strongly affected by the amplitude of the Gaussian weight function employed to describe…
In this paper, we propose a novel computational method for solving non-linear optimal control problems. The method is based on the use of Fourier--Hermite series for approximating the action-value function arising in dynamic programming…