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Wavelet method for option pricing under the two-asset Merton jump-diffusion model

Černá, Dana (2021)

Programs and Algorithms of Numerical Mathematics

This paper examines the pricing of two-asset European options under the Merton model represented by a nonstationary integro-differential equation with two state variables. For its numerical solution, the wavelet-Galerkin method combined with the Crank-Nicolson scheme is used. A drawback of most classical methods is the full structure of discretization matrices. In comparison, the wavelet method enables the approximation of discretization matrices with sparse matrices. Sparsity is essential for the...

Young-measure approximations for elastodynamics with non-monotone stress-strain relations

Carsten Carstensen, Marc Oliver Rieger (2004)

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

Microstructures in phase-transitions of alloys are modeled by the energy minimization of a nonconvex energy density φ . Their time-evolution leads to a nonlinear wave equation u t t = div S ( D u ) with the non-monotone stress-strain relation S = D φ plus proper boundary and initial conditions. This hyperbolic-elliptic initial-boundary value problem of changing types allows, in general, solely Young-measure solutions. This paper introduces a fully-numerical time-space discretization of this equation in a corresponding very...

Young-Measure approximations for elastodynamics with non-monotone stress-strain relations

Carsten Carstensen, Marc Oliver Rieger (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

Microstructures in phase-transitions of alloys are modeled by the energy minimization of a nonconvex energy density ϕ. Their time-evolution leads to a nonlinear wave equation u t t = div S ( D u ) with the non-monotone stress-strain relation S = D φ plus proper boundary and initial conditions. This hyperbolic-elliptic initial-boundary value problem of changing types allows, in general, solely Young-measure solutions. This paper introduces a fully-numerical time-space discretization of this equation in a corresponding...

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