Numerical analysis of finite difference schemes arising from time-memory partial integro-differential equations

Autor: M. Fakharany, Mahmoud M. El-Borai, M. A. Abu Ibrahim

Publikováno v: Frontiers in Applied Mathematics and Statistics, Vol 8 (2022)

This paper investigates the partial integro-differential equation of memory type numerically. The differential operator is discretized based on θ-finite difference schemes, while the integral operator is approximated using Simpson's rule. The mesh p

Externí odkaz: https://doaj.org/article/e12d625c0d6f49a7a2fa775aecad6faa

Removing the Correlation Term in Option Pricing Heston Model: Numerical Analysis and Computing

Autor: R. Company, L. Jódar, M. Fakharany, M.-C. Casabán

Publikováno v: Abstract and Applied Analysis, Vol 2013 (2013)

This paper deals with the numerical solution of option pricing stochastic volatility model described by a time-dependent, two-dimensional convection-diffusion reaction equation. Firstly, the mixed spatial derivative of the partial differential equati

Externí odkaz: https://doaj.org/article/349e0432bff2431ab9beb1b8c74becdf

Detection Model With a Maximum Discounted Effort Reward Search to Maintenance a Best Decision Under the Quality Control Process

Autor: Mohamed El-Hadidy, M. Fakharany

Publikováno v: Statistics, Optimization & Information Computing. 10:935-948

This paper aims to get a needed service by making the best decision of choosing one suitable company (queue) from K − independent Markovian queues (companies). The customers arrive at each queue according to a Poisson process. The service time of e

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::507387ebd1056b014d848159661faf95
https://doi.org/10.19139/soic-2310-5070-1368

Numerical valuation of two-asset options under jump diffusion models using Gauss–Hermite quadrature

Autor: M. Fakharany, Vera N. Egorova

Publikováno v: BIRD: BCAM's Institutional Repository Data
instname
Journal of Computational and Applied Mathematics, 2018, 330, 822-834
UCrea Repositorio Abierto de la Universidad de Cantabria
Universidad de Cantabria (UC)
RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia

[EN] In this work a finite difference approach together with a bivariate Gauss¿Hermite quadrature technique is developed for partial-integro differential equations related to option pricing problems on two underlying asset driven by jump-diffusion m

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a3c83a84853a21908ddaca000953afa1
https://doi.org/10.1016/j.cam.2017.03.032

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