Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs

Hitoshi Imai; Naoyuki Ishimura; Hideo Sakaguchi

Displaying similar documents to “Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs”

Remark to the dependence of solution of nonlinear operator equation on the space in which it is solved

Pavel Doktor (1975)

Czechoslovak Mathematical Journal

Similarity:

Nonlinear equations with noninvertible linear part

Svatopluk Fučík (1974)

Czechoslovak Mathematical Journal

Similarity:

Finite-volume level set method and its adaptive version in completing subjective contours

Zuzana Krivá (2007)

Kybernetika

Similarity:

In this paper we deal with a problem of segmentation (including missing boundary completion) and subjective contour creation. For the corresponding models we apply the semi-implicit finite volume numerical schemes leading to methods which are robust, efficient and stable without any restriction to a time step. The finite volume discretization enables to use the spatial adaptivity and thus improve significantly the computational time. The computational results related to image segmentation...

Perona-Malik equation: properties of explicit finite volume scheme

Angela Handlovičová (2007)

Kybernetika

Similarity:

The Perona–Malik nonlinear parabolic problem, which is widely used in image processing, is investigated in this paper from the numerical point of view. An explicit finite volume numerical scheme for this problem is presented and consistency property is proved.