Zobrazeno 1 - 10
of 339
pro vyhledávání: '"Dai, Weizhong"'
Publikováno v:
Z. Angew. Math. Phys. 75 (2024) 143
Thermal resonance, in which the temperature amplitude attains a maximum value (peak) in response to an external exciting frequency source, is a phenomenon pertinent to the presence of underdamped thermal oscillations and explicit finite-speed for the
Externí odkaz:
http://arxiv.org/abs/2403.09684
In this research work, we propose a high-order time adapted scheme for pricing a coupled system of fixed-free boundary constant elasticity of variance (CEV) model on both equidistant and locally refined space-grid. The performance of our method is su
Externí odkaz:
http://arxiv.org/abs/2309.03984
We propose a deep learning method for solving the American options model with a free boundary feature. To extract the free boundary known as the early exercise boundary from our proposed method, we introduce the Landau transformation. For efficient i
Externí odkaz:
http://arxiv.org/abs/2211.11803
Autor:
Nwankwo, Chinonso, Dai, Weizhong
We propose a stable sixth-order compact finite difference scheme with a dynamic fifth-order staggered boundary scheme and 3(2) R-K Bogacki and Shampine adaptive time stepping for pricing American style options. To locate, fix and compute the free-bou
Externí odkaz:
http://arxiv.org/abs/2207.14379
Publikováno v:
In Journal of Computational Physics 15 August 2024 511
Autor:
Nwankwo, Chinonso, Dai, Weizhong
When solving the American options with or without dividends, numerical methods often obtain lower convergence rates if further treatment is not implemented even using high-order schemes. In this article, we present a fast and explicit fourth-order co
Externí odkaz:
http://arxiv.org/abs/2108.10418
Publikováno v:
In Journal of Computational and Applied Mathematics 15 May 2024 441
Autor:
Guo, Feng, Dai, Weizhong
Publikováno v:
In Communications in Nonlinear Science and Numerical Simulation April 2024 131
Autor:
Nwankwo, Chinonso, Dai, Weizhong
In this research work, an explicit Runge-Kutta-Fehlberg (RKF) time integration with a fourth-order compact finite difference scheme in space and a high order analytical approximation of the optimal exercise boundary is employed for solving the regime
Externí odkaz:
http://arxiv.org/abs/2012.09820
Autor:
Nwankwo, Chinonso, Dai, Weizhong
We present a multigrid iterative algorithm for solving a system of coupled free boundary problems for pricing American put options with regime-switching. The algorithm is based on our recently developed compact finite difference scheme coupled with H
Externí odkaz:
http://arxiv.org/abs/2008.00925