Zobrazeno 1 - 10
of 138
pro vyhledávání: '"Mohan K. Kadalbajoo"'
Autor:
Anuradha Jha, Mohan K. Kadalbajoo
Publikováno v:
Computational and Mathematical Methods. 3
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fb46e4c560de892b293d28939c4ece27
https://doi.org/10.1002/cmm4.1210
https://doi.org/10.1002/cmm4.1210
Publikováno v:
International Journal of Applied and Computational Mathematics. 6
The main aim of this article is to demonstrate the efficiency of the exponentially refined a priori mesh $$(H(\ell )$$) on capturing the interior layer. Upwind scheme on the proposed $$H(\ell )$$ mesh is considered for a class of singularly perturbed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::edef59dfe70066d8d412da1dd5dc3e63
https://doi.org/10.1007/s40819-020-00839-w
https://doi.org/10.1007/s40819-020-00839-w
Publikováno v:
International Journal of Computer Mathematics. 96:474-499
In the present paper, a parameter-uniform numerical method is constructed and analysed for solving one-dimensional singularly perturbed parabolic problems with two small parameters. The solution of this class of problems may exhibit exponential (or p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3a327302b9ec0cf3ded0cc607b576410
https://doi.org/10.1080/00207160.2018.1432856
https://doi.org/10.1080/00207160.2018.1432856
Radial-basis-function-based finite difference operator splitting method for pricing American options
Publikováno v:
International Journal of Computer Mathematics. 95:2343-2359
We present a new radial-basis-function (RBF)-based numerical method for pricing European and American option problems. The governing equation is time semi-discretized by a linear-implicit b...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c83f58dc7e0f2c4fd0bd2d92fddfe487
https://doi.org/10.1080/00207160.2017.1395870
https://doi.org/10.1080/00207160.2017.1395870
Publikováno v:
SIAM Journal on Numerical Analysis. 55:869-891
The aim of this article is to develop and analyze a finite element method, combined with implicit-explicit (IMEX) time semidiscretizations, for pricing American options under Merton's and Kou's jum...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2c1fff9b2f102c2c600ffae8b20f7f6e
https://doi.org/10.1137/16m1074746
https://doi.org/10.1137/16m1074746
Publikováno v:
Applied Numerical Mathematics. 110:159-173
In this article, we present a radial basis function based implicit explicit numerical method to solve the partial integro-differential equation which describes the nature of the option price under jump diffusion model. The governing equation is time
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1df0c4b54598f26595e63d64977dcf82
https://doi.org/10.1016/j.apnum.2016.08.006
https://doi.org/10.1016/j.apnum.2016.08.006
Publikováno v:
Numerical Analysis and Applications. 9:66-73
We investigate the numerical analysis of leaky integrate-and-fire model with Levy noise. We consider a neuronal model in which probability density function of a neuron in some potential at any time is modeled by a transport equation. Levy noise is in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8454f9e2285a7eeed39c99534904a15a
https://doi.org/10.1134/s1995423916010079
https://doi.org/10.1134/s1995423916010079
Publikováno v:
International Journal of Applied and Computational Mathematics. 4
In this article, we present a harmonic series (partial sum) based a priori mesh denoted by $$H(\ell )$$ having both computational advantages and improved accuracy when compared with generalized Shishkin mesh $$S(\ell )$$ for a class of singularly per
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8fe16adbec0dfe70f18a60f7194e99f2
https://doi.org/10.1007/s40819-018-0574-y
https://doi.org/10.1007/s40819-018-0574-y
Publikováno v:
International Journal of Advances in Engineering Sciences and Applied Mathematics. 7:114-123
The aim of the present manuscript is to develop an efficient and accurate numerical method for pricing the option when underlying asset follows jump diffusion process. The governing equation is time semi discretized by using the implicit–explicit C
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::52690b9eec811143d6c8f2d0f2e1302e
https://doi.org/10.1007/s12572-015-0136-z
https://doi.org/10.1007/s12572-015-0136-z
Publikováno v:
Journal of Scientific Computing. 65:979-1024
In this paper three implicit-explicit (IMEX) time semi-discrete methods, namely IMEX-BDF1, IMEX-BDF2 and CN-LF, are developed for solving parabolic partial integro-differential equations which arise in option pricing theory when the underlying asset
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aea02eb6c3566ad271316002076d1791
https://doi.org/10.1007/s10915-015-0001-z
https://doi.org/10.1007/s10915-015-0001-z