Displaying similar documents to “On pricing American and Asian options with PDE methods.”

Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs

Rafael Company, Lucas Jódar, José-Ramón Pintos (2009)

ESAIM: Mathematical Modelling and Numerical Analysis

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This paper deals with the numerical solution of nonlinear Black-Scholes equation modeling European vanilla call option pricing under transaction costs. Using an explicit finite difference scheme consistent with the partial differential equation valuation problem, a sufficient condition for the stability of the solution is given in terms of the stepsize discretization variables and the parameter measuring the transaction costs. This stability condition is linked to some properties of...

Numerical study of acoustic multiperforated plates

Abderrahmane Bendali, M’Barek Fares, Sophie Laurens, Sébastien Tordeux (2012)

ESAIM: Proceedings

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It is rather classical to model multiperforated plates by approximate impedance boundary conditions. In this article we would like to compare an instance of such boundary conditions obtained through a matched asymptotic expansions technique to direct numerical computations based on a boundary element formulation in the case of linear acoustic.

Convergence of a numerical scheme for a nonlinear oblique derivative boundary value problem

Florian Mehats (2002)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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We present here a discretization of a nonlinear oblique derivative boundary value problem for the heat equation in dimension two. This finite difference scheme takes advantages of the structure of the boundary condition, which can be reinterpreted as a Burgers equation in the space variables. This enables to obtain an energy estimate and to prove the convergence of the scheme. We also provide some numerical simulations of this problem and a numerical study of the stability of the scheme,...

Simplifying numerical solution of constrained PDE systems through involutive completion

Bijan Mohammadi, Jukka Tuomela (2005)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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When analysing general systems of PDEs, it is important first to find the involutive form of the initial system. This is because the properties of the system cannot in general be determined if the system is not involutive. We show that the notion of involutivity is also interesting from the numerical point of view. The use of the involutive form of the system allows one to consider quite general situations in a unified way. We illustrate our approach on the numerical solution of several...