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Valuation of two-factor options under the Merton jump-diffusion model using orthogonal spline wavelets

Černá, Dana (2023)

Programs and Algorithms of Numerical Mathematics

This paper addresses the two-asset Merton model for option pricing represented by non-stationary integro-differential equations with two state variables. The drawback of most classical methods for solving these types of equations is that the matrices arising from discretization are full and ill-conditioned. In this paper, we first transform the equation using logarithmic prices, drift removal, and localization. Then, we apply the Galerkin method with a recently proposed orthogonal cubic spline-wavelet...

Valuing barrier options using the adaptive discontinuous Galerkin method

Hozman, Jiří (2013)

Programs and Algorithms of Numerical Mathematics

This paper is devoted to barrier options and the main objective is to develop a sufficiently robust, accurate and efficient method for computation of their values driven according to the well-known Black-Scholes equation. The main idea is based on the discontinuous Galerkin method together with a spatial adaptive approach. This combination seems to be a promising technique for the solving of such problems with discontinuous solutions as well as for consequent optimization of the number of degrees...

Variational analysis for the Black and Scholes equation with stochastic volatility

Yves Achdou, Nicoletta Tchou (2002)

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

We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle...

Variational Analysis for the Black and Scholes Equation with Stochastic Volatility

Yves Achdou, Nicoletta Tchou (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

We propose a variational analysis for a Black and Scholes equation with stochastic volatility. This equation gives the price of a European option as a function of the time, of the price of the underlying asset and of the volatility when the volatility is a function of a mean reverting Orstein-Uhlenbeck process, possibly correlated with the underlying asset. The variational analysis involves weighted Sobolev spaces. It enables to prove qualitative properties of the solution, namely a maximum principle...

Variational sensitivity analysis of parametric Markovian market models

Norbert Hilber, Christoph Schwab, Christoph Winter (2008)

Banach Center Publications

Parameter sensitivities of prices for derivative contracts play an important role in model calibration as well as in quantification of model risk. In this paper a unified approach to the efficient numerical computation of all sensitivities for Markovian market models is presented. Variational approximations of the integro-differential equations corresponding to the infinitesimal generators of the market model differentiated with respect to the model parameters are employed. Superconvergent approximations...

Vertex centred Discretization of Two-Phase Darcy flows on General Meshes

Robert Eymard, Cindy Guichard, Raphaèle Herbin, Roland Masson (2012)

ESAIM: Proceedings

This paper concerns the discretization of multiphase Darcy flows, in the case of heterogeneous anisotropic porous media and general 3D meshes used in practice to represent reservoir and basin geometries. An unconditionally coercive and symmetric vertex centred approach is introduced in this paper. This scheme extends the Vertex Approximate Gradient scheme (VAG), already introduced for single phase diffusive problems in [9], to multiphase Darcy flows....

Vessel Wall Models for Simulation of Atherosclerotic Vascular Networks

Yu. Vassilevski, S. Simakov, V. Salamatova, Yu. Ivanov, T. Dobroserdova (2011)

Mathematical Modelling of Natural Phenomena

There are two mathematical models of elastic walls of healthy and atherosclerotic blood vessels developed and studied. The models are included in a numerical model of global blood circulation via recovery of the vessel wall state equation. The joint model allows us to study the impact of arteries atherosclerotic disease of a set of arteries on regional haemodynamics.

Vibrations of a beam between obstacles. Convergence of a fully discretized approximation

Yves Dumont, Laetitia Paoli (2006)

ESAIM: Mathematical Modelling and Numerical Analysis

We consider mathematical models describing dynamics of an elastic beam which is clamped at its left end to a vibrating support and which can move freely at its right end between two rigid obstacles. We model the contact with Signorini's complementary conditions between the displacement and the shear stress. For this infinite dimensional contact problem, we propose a family of fully discretized approximations and their convergence is proved. Moreover some examples of implementation are presented....

Vorticity dynamics and numerical resolution of Navier-Stokes equations

Matania Ben-Artzi, Dalia Fishelov, Shlomo Trachtenberg (2001)

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

We present a new methodology for the numerical resolution of the hydrodynamics of incompressible viscid newtonian fluids. It is based on the Navier-Stokes equations and we refer to it as the vorticity projection method. The method is robust enough to handle complex and convoluted configurations typical to the motion of biological structures in viscous fluids. Although the method is applicable to three dimensions, we address here in detail only the two dimensional case. We provide numerical data...

Vorticity dynamics and numerical Resolution of Navier-Stokes Equations

Matania Ben-Artzi, Dalia Fishelov, Shlomo Trachtenberg (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

We present a new methodology for the numerical resolution of the hydrodynamics of incompressible viscid newtonian fluids. It is based on the Navier-Stokes equations and we refer to it as the vorticity projection method. The method is robust enough to handle complex and convoluted configurations typical to the motion of biological structures in viscous fluids. Although the method is applicable to three dimensions, we address here in detail only the two dimensional case. We provide numerical data...

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