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Listar por palabra clave "Finite difference methods"

Mostrando ítems 1-9 de 9

A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio (Elsevier, 2021-11)

[EN] American options prices under jump-diffusion models are determined by a free boundary partial integro-differential equation (PIDE) problem. In this paper, we propose a front-fixing exponential time differencing (FF-ETD) ...
A New Efficient Numerical Method for Solving American Option under Regime Switching Model

Egorova, Vera; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Elsevier, 2016-01)

[EN] A system of coupled free boundary problems describing American put option pricing under regime switching is considered. In order to build numerical solution firstly a front-fixing transformation is applied. Transformed ...
Chaotic finite difference operators

Murillo Arcila, Marina; Peris Manguillot, Alfredo; Vargas-Moreno, Álvaro (American Institute of Physics, 2023-09-11)

[EN] In this article, we analyze the chaotic behavior of finite difference operators associated with certain differential equations. Our examples range from numerical schemes for a birth-and-death model with proliferation ...
Contributions to solve the Multi-group Neutron Transport equation with different Angular Approaches

Morato Rafet, Sergio (Universitat Politècnica de València, 2021-01-17)

[ES] La forma más exacta de conocer el desplazamiento de los neutrones a través de un medio material se consigue resolviendo la Ecuación del Transporte Neutrónico. Tres diferentes aproximaciones de esta ecuación se han ...
Finite Difference Schemes for Option Pricing under Stochastic Volatility and Lévy Processes: Numerical Analysis and Computing

El-Fakharany, Mohamed Mostafa Refaat (Universitat Politècnica de València, 2015-07-29)

[EN] In the stock markets, the process of estimating a fair price for a stock, option or commodity is consider the corner stone for this trade. There are several attempts to obtain a suitable mathematical model in order ...
Improving Insertion Loss of Sonic Crystal Active Noise Barrier by Reinforcement Learning and Finite Difference Time Domain Simulations

Ramírez-Solana, David; Galiana-Nieves, Jaime; Redondo, Javier; Mangini, Agostino Marcello; Fanti, Maria Pia (Institute of Electrical and Electronics Engineers, 2024-05)

[EN] Sonic crystal noise barriers (SCNB) have emerged as a promising solution for mitigating traffic noise pollution. These barriers utilize periodic structures to selectively reflect acoustic waves at specific target ...
Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

Egorova, Vera; Tan, Shih-Hau; Lai, Choi-Hong; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Taylor & Francis, 2017)

[EN] The pricing of American call option with transaction cost is a free boundary problem. Using a new transformation method the boundary is made to follow a certain known trajectory in time. The new transformed problem is ...
Numerical analysis and computing of free boundary problems for concrete carbonation chemical corrosion

Piqueras-García, Miguel Ángel; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Elsevier, 2018)

[EN] This paper deals with the construction, analysis and computation of a numerical method to solve a moving boundary coupled nonlinear system of parabolic reaction-diffusion equations, arising in concrete carbonation ...
Solving two-phase freezing Stefan problems: Stability and monotonicity

Piqueras, Miguel A.; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (John Wiley & Sons, 2020-09-30)

[EN] The two-phase Stefan problems with phase formation and depletion are special cases ofmoving boundary problemswith interest in science and industry. In this work, we study a solidification problem, introducing a ...