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

Hitoshi Imai; Naoyuki Ishimura; Hideo Sakaguchi

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

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

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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...