Abstract: In this paper, we investigate the solution of a two dimensional parabolic free boundary problem. The free boundary of this problem is modelled as a nonlinear integral equation (IE). For this integral equation, we propose an asymptotic solution as time is near to maturity and develop an integral iterative method. The computational results reveal that our asymptotic solution is very close to the numerical solution as time is near to maturity.
Abstract: In this paper, the American exchange option (AEO) valuation problem is modelled as a free boundary problem. The critical stock price for an AEO is satisfied an integral equation implicitly. When the remaining time is large enough, an asymptotic formula is provided for pricing an AEO. The numerical results reveal that our asymptotic pricing formula is robust and accurate for the long-term AEO.
Abstract: A linear system is called a fully fuzzy linear system (FFLS) if quantities in this system are all fuzzy numbers. For the FFLS, we investigate its solution and develop a new approximate method for solving the FFLS. Observing the numerical results, we find that our method is accurate than the iterative Jacobi and Gauss- Seidel methods on approximating the solution of FFLS.
Abstract: This paper investigates the solutions of two-point fuzzy boundary value problems as the form x = f(t, x(t)), x(0) = A and x(l) = B, where A and B are fuzzy numbers. There are four different solutions for the problems when the lateral type of H-derivative is employed to solve the problems. As f(t, x) is a monotone function of x, these four solutions are reduced to two different solutions. As f(t, x(t)) = λx(t) or f(t, x(t)) = -λx(t), solutions and several comparison results are presented to indicate advantages of each solution.