Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Olena Burkovska"'
Autor:
Olena Burkovska, Max D. Gunzburger
Publikováno v:
SIAM Journal on Numerical Analysis. 58:1469-1494
We consider parametrized problems driven by spatially nonlocal integral operators with parameter-dependent kernels. In particular, kernels with varying nonlocal interaction radius $\delta > 0$ and ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::10f3d57f8d51a5dc04dfe55ab322951c
https://doi.org/10.1137/19m124321x
https://doi.org/10.1137/19m124321x
Autor:
Olena Burkovska, Max D. Gunzburger
Publikováno v:
Journal of Mathematical Analysis and Applications. 478:1027-1048
We consider linear and obstacle problems driven by a nonlocal integral operator, for which nonlocal interactions are restricted to a ball of finite radius. These types of operators are used to model anomalous diffusion and, for a special choice of th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::001b37ec254e18fd7b46d61be2e8726c
https://doi.org/10.1016/j.jmaa.2019.05.064
https://doi.org/10.1016/j.jmaa.2019.05.064
Publikováno v:
Journal of Computational Finance. 23:25-60
American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. Due to the higher flexibility in comparison to European options, the ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fecc2ae6fd22eef4ff1c0f875996d0c6
https://doi.org/10.21314/jcf.2019.367
https://doi.org/10.21314/jcf.2019.367
Autor:
Max D. Gunzburger, Olena Burkovska
A nonlocal Cahn–Hilliard model with a non-smooth potential of double-well obstacle type that promotes sharp interfaces in the solution is presented. To capture long-range interactions between particles, a nonlocal Ginzburg–Landau energy functiona
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d78194110e253fcfb042e8a131a4979f
http://arxiv.org/abs/2004.14379
http://arxiv.org/abs/2004.14379
Nonlocal operators of fractional type are a popular modeling choice for applications that do not adhere to classical diffusive behavior; however, one major challenge in nonlocal simulations is the selection of model parameters. In this work we propos
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c9f39c2da8b597f7df40f8a78734685f
Publikováno v:
Quantitative Finance
© 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group. American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4fc4776b48db577c2f3eee6bd93470e3
https://pubmed.ncbi.nlm.nih.gov/30022892
https://pubmed.ncbi.nlm.nih.gov/30022892
Publikováno v:
SIAM Journal on Financial Mathematics
SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2015, 6 (1), pp.685-712. ⟨10.1137/140981216⟩
SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2015, 6 (1), pp.685-712. ⟨10.1137/140981216⟩
International audience; In this paper, we present a reduced basis method for pricing European and American options based on the Black-Scholes and Heston model. To tackle each model numerically, we formulate the problem in terms of a time dependent va
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65d74132ef7c5ddfcb0abf830a1d94f1
https://hal.archives-ouvertes.fr/hal-01097423
https://hal.archives-ouvertes.fr/hal-01097423