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Asymptotic behaviour and numerical approximation of optimal eigenvalues of the Robin Laplacian
Robin Laplacian Eigenvalues Optimisation
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2012/4/18
We consider the problem of minimising the $n^{th}-$eigenvalue of the Robin Laplacian in $\mathbb{R}^{N}$. Although for $n=1,2$ and a positive boundary parameter $\alpha$ it is known that the minimiser...
Numerical Approximation of the Inviscid 3D Primitive Equations in a Limited Domain
the Inviscid 3D Primitive Equations Limited Domain
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2010/11/24
A new set of nonlocal boundary conditions are proposed for the higher modes of the 3D inviscid primitive equations. Numerical schemes using the splitting-up method are proposed for these modes. Numeri...
On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
numerical approximation construction nonlinear Black-Scholes equations
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2010/10/21
The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method h...
Early exercise boundary for American type of floating strike Asian option and its numerical approximation
option pricing American-style of Asian options early exercise bound-ary limiting behavior close to expiry
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2010/11/3
In this paper we generalize and analyze the model for pricing American-style Asian options due to (Hansen and Jørgensen 2000) by including a continuous divi-dend rate q and a general method of ...