Abstract: Numerical methods like binomial and trinomial trees and finite difference methods can be used to price a wide range of options contracts for which there are no known analytical solutions. American options are the most famous of that kind of options. Besides numerical methods, American options can be valued with the approximation formulas, like Bjerksund-Stensland formulas from 1993 and 2002. When the value of American option is approximated by Bjerksund-Stensland formulas, the computer time spent to carry out that calculation is very short. The computer time spent using numerical methods can vary from less than one second to several minutes or even hours. However to be able to conduct a comparative analysis of numerical methods and Bjerksund-Stensland formulas, we will limit computer calculation time of numerical method to less than one second. Therefore, we ask the question: Which method will be most accurate at nearly the same computer calculation time?
Abstract: In this paper, the difference between the Alternating
Direction Method (ADM) and the Non-Splitting Method (NSM) is
investigated, while both methods applied to the simulations for 2-D
multimaterial radiation diffusion issues. Although the ADM have the
same accuracy orders with the NSM on the uniform meshes, the
accuracy of ADM will decrease on the distorted meshes or the
boundary of domain. Numerical experiments are carried out to
confirm the theoretical predication.
Abstract: Flow movement in unsaturated soil can be expressed
by a partial differential equation, named Richards equation. The
objective of this study is the finding of an appropriate implicit
numerical solution for head based Richards equation. Some of the
well known finite difference schemes (fully implicit, Crank Nicolson
and Runge-Kutta) have been utilized in this study. In addition, the
effects of different approximations of moisture capacity function,
convergence criteria and time stepping methods were evaluated. Two
different infiltration problems were solved to investigate the
performance of different schemes. These problems include of vertical
water flow in a wet and very dry soils. The numerical solutions of
two problems were compared using four evaluation criteria and the
results of comparisons showed that fully implicit scheme is better
than the other schemes. In addition, utilizing of standard chord slope
method for approximation of moisture capacity function, automatic
time stepping method and difference between two successive
iterations as convergence criterion in the fully implicit scheme can
lead to better and more reliable results for simulation of fluid
movement in different unsaturated soils.
Abstract: In this article, we aim to discuss the formulation of two explicit group iterative finite difference methods for time-dependent two dimensional Burger-s problem on a variable mesh. For the non-linear problems, the discretization leads to a non-linear system whose Jacobian is a tridiagonal matrix. We discuss the Newton-s explicit group iterative methods for a general Burger-s equation. The proposed explicit group methods are derived from the standard point and rotated point Crank-Nicolson finite difference schemes. Their computational complexity analysis is discussed. Numerical results are given to justify the feasibility of these two proposed iterative methods.
Abstract: Recently, it is found that telegraph equation is more suitable than ordinary diffusion equation in modelling reaction diffusion for such branches of sciences. In this paper, a numerical solution for the one-dimensional hyperbolic telegraph equation by using the collocation method using the septic splines is proposed. The scheme works in a similar fashion as finite difference methods. Test problems are used to validate our scheme by calculate L2-norm and L∞-norm. The accuracy of the presented method is demonstrated by two test problems. The numerical results are found to be in good agreement with the exact solutions.
Abstract: In this paper we use quintic non-polynomial
spline functions to develop numerical methods for approximation
to the solution of a system of fourth-order boundaryvalue
problems associated with obstacle, unilateral and contact
problems. The convergence analysis of the methods has been
discussed and shown that the given approximations are better
than collocation and finite difference methods. Numerical
examples are presented to illustrate the applications of these
methods, and to compare the computed results with other
known methods.