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Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation

Luca Vincenzo Ballestra
2021 Computational Management Science  
AbstractWe show that the performances of the finite difference method for double barrier option pricing can be strongly enhanced by applying both a repeated Richardson extrapolation technique and a mesh  ...  Then, a finite difference scheme employing repeated Richardson extrapolation in both space and time is developed.  ...  Then, we apply a finite difference scheme enhanced by repeated Richardson extrapolation in both space and time.  ... 
doi:10.1007/s10287-021-00394-9 fatcat:nso56lfwhbfyjjfb45voqdhkgi

The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach

Luca Vincenzo Ballestra, Carlo Sgarra
2010 Computers and Mathematics with Applications  
Then the problem obtained is solved using an ad hoc finite element method which efficiently combines an implicit/explicit time stepping, an operator splitting technique, and a nonuniform mesh of right-angled  ...  In particular, first of all, using a Richardson extrapolation technique, the problem is reduced to a problem with fixed boundary.  ...  Time discretization Richardson extrapolation. The option price is computed by Richardson extrapolation of the prices of two Bermudan options.  ... 
doi:10.1016/j.camwa.2010.06.040 fatcat:x46nyj7worbhnpiyeejzf4wr5i

A computational study of turbulent flow separation for a circular cylinder using skin friction boundary conditions [chapter]

Johan Hoffman, Niclas Jansson
2011 ERCOFTAC Series  
The current paper will present and compare different techniques used for solving this methodology.  ...  A priori estimates are applied to the anisotropic mesh adaptation for 2D viscous flows and 3D ones including Large Eddy Simulation.  ...  of the Extended Abstracts and Full Contributions, and the organization of ADMOS 2013, VI International Conference on Adaptive Modeling and Simulation: Acknowledgments The authors thank the financial  ... 
doi:10.1007/978-94-007-0231-8_5 fatcat:f6ll6iawcbeo7pbj4rb7t4o2tq

A hybridizable discontinuous Galerkin method for modeling fluid–structure interaction

Jason P. Sheldon, Scott T. Miller, Jonathan S. Pitt
2016 Journal of Computational Physics  
Current applications of the HDG method are reviewed and shown to be limited in scope to single-physics scenarios; however, they do include both solid and fluid problems, which are necessary for FSI modeling  ...  Utilizing these established models, HDG formulations for linear elastostatics, linear elastodynamics, nonlinear elastodynamics, Eulerian Navier-Stokes, and arbitrary Lagrangian-Eulerian Navier-Stokes are  ...  Richardson extrapolation provides an approximation for the exact solution quantity that can be computed with only two meshes.  ... 
doi:10.1016/ fatcat:u3vamz5hbvd35otix3xuxlyeia

Improvement of methods for evaluating the spacecraft pressure wall penetration probability
Совершенствование методики оценки вероятности пробоя стенок конструкции космических аппаратов

Б.Т. Добрица, Д.Б. Добрица, Б.Ю. Ященко
2017 Engineering Journal Science and Innovation  
Structures", " Combination with Double Wall Structures" and " Combination with other Concepts" J.  ...  Nölke 4.0 rev.1 13.3.2006 2.4 Column for MODAOST added in benchmark tables (cube, sphere, simple space station) and inclusion of first benchmarks for NASA91, ORDEM2000 and meteoroid environment MDPANTO  ...  given in ] -double wall equations given in [Reimerdes, 2006] Optimization Results Optimization is done for single wall and for double wall configurations using MDPOPT, which is a combination of the  ... 
doi:10.18698/2308-6033-2017-7-1633 fatcat:5yllvkcwhbfvrlium43u6j4wre

Computational Electronics

Dragica Vasileska, Stephen M. Goodnick
2006 Synthesis Lectures on Computational Electromagnetics  
The motivation for this volume is the need within the modeling and simulation community for a comprehensive text which spans basic drift-diffusion modeling, through energy balance and hydrodynamic models  ...  The prerequisite knowledge is a fundamental understanding of basic semiconductor physics, the physical models for various device technologies such as pn diodes, bipolar junction transistors, and field  ...  Such simple finite-difference approaches are in general a compromise, which cannot provide at one time an optimal treatment of both advective and diffusive components.  ... 
doi:10.2200/s00026ed1v01y200605cem006 fatcat:fyti5u2gizbyxjnpgsadhph7uq

An Introduction to Computational Physics

Tao Pang, Harvey Gould, Jan Tobochnik
1999 American Journal of Physics  
The first half of the book deals with basic computational tools and routines, covering approximation and optimization of a function, differential equations, spectral analysis, and matrix operations.  ...  It will also be a useful reference for anyone involved in computational research.  ...  Institute for Basic Research in Science at the University of  ... 
doi:10.1119/1.19198 fatcat:mmzmhltz2ncefji3y5hud2c5fu

The Long Baseline Neutrino Experiment (LBNE) Water Cherenkov Detector (WCD) Conceptual Design Report (CDR) [article]

The LBNE Collaboration
2012 arXiv   pre-print
Conceptual Design Report developed for the Water Cherenkov Detector (WCD) option for the far detector of the Long Baseline Neutrino Experiment.  ...  Different reconstruction algorithms are to be optimized for different physics processes.  ...  The motivation for this option is to reduce the required strength of the vessel wall and thereby optimize cost and schedule.  ... 
arXiv:1204.2295v1 fatcat:yuki457rivef5li4h2d3n3dyey

14th International Symposium on Mathematical Programming

1990 Mathematical programming  
It is shown that for the success of the variant dom must ful ll a regularity property and that the choice of the normal vectors must meet some demands.Both requirements are ful lled if dom is polyhedral  ...  Finally I report numerical results of a comparison between the variant and a minimization approach using penalty functions.  ...  Keywords: Lagrange interpolation -Richardson extrapolation -optimization methods One of the intriguing problems of interpolation theory posed by Erd os in 1961 is the problem of nding a set of interpolation  ... 
doi:10.1007/bf01580875 fatcat:3jtclwmntzgjxkqs5uecombdaa

Neural network modeling of a dolphin's sonar discrimination capabilities

Lars N. Andersen, A. René Rasmussen, Whitlow W. L. Au, Paul E. Nachtigall, Herbert Roitblat
1994 Journal of the Acoustical Society of America  
The sound field scattered by a smooth thin elastic shell immersed in fluid arises largely from specular reflection and acoustic-membrane coupling, unless both source and observer are located near or on  ...  The data structure of this model will be a finite element mesh.  ...  The fish were placed inside a PVC mesh cage and positioned in the waveguide approximately 3 m down from the J9.  ... 
doi:10.1121/1.410770 fatcat:ioiiov6bmjdi7kiflait5dhdfe

Neural network modeling of a dolphin's sonar discrimination capabilities

Whitlow W. L. Au, Lars N. Andersen, A. René Rasmussen, Herbert L. Roitblat, Paul E. Nachtigall
1995 Journal of the Acoustical Society of America  
The sound field scattered by a smooth thin elastic shell immersed in fluid arises largely from specular reflection and acoustic-membrane coupling, unless both source and observer are located near or on  ...  The data structure of this model will be a finite element mesh.  ...  The fish were placed inside a PVC mesh cage and positioned in the waveguide approximately 3 m down from the J9.  ... 
doi:10.1121/1.413700 pmid:7608403 fatcat:m3nunzs4wfflhfl27n4shdn2n4

Dynamics of Nonlinear Waves on Bounded Domains [article]

Maciej Maliborski
2016 arXiv   pre-print
Moreover, we describe similarities and differences among these models concerning properties of time-periodic solutions and methods used for their construction.  ...  They result for a delicate balance between dispersion and nonlinear interaction.  ...  This is either done by using Richardson extrapolation or by using RK formulae which contain two numerical approximations for ( 0 +ℎ) where their difference yields an estimate of the local error which is  ... 
arXiv:1603.00935v1 fatcat:o3jiqo7y25cfnnphppc3vksnpq

The structural acoustic properties of stiffened shells

Yu Luan
2008 Journal of the Acoustical Society of America  
International technical standard for field measurements of DL2 integrates new descriptive models for open plan office acoustics, taking into account geometric proportions, presence of screens and furniture  ...  Spatial decay ͑expressed through rate of spatial decay per doubling of distance, DL2͒ is preferred to temporal decay ͑expressed through reverberation time, RT͒.  ...  For simplicity, we considered the lattice composed of two kinds of media with different characteristic impedance in the repeating order with finite periods and the defect with arbitrary size and characteristic  ... 
doi:10.1121/1.2932806 fatcat:zohbewf2k5h7fly2hoqzfdk42e

A coupled bispectral, temporal and spatial coherence function of the pressure field, scattered from a moving sea surface

Christian Bjerrum‐Niese, Leif Bjo/rno/
1995 Journal of the Acoustical Society of America  
Technical Advisory Groups for ISO/TC 43 (P. D. Schomer), IEC/TC 29 (V. Nedzelnitsky), and ISO/'rc 108/SC4 (H.  ...  Technical Advisory Group (TAG) Meetings for ISO/TC 43 Acoustics, IEC/TC 29 Electroacoustics, and ISO/TC 108/SC4 Human Exposure to Mechanical Vibration and Shock Scope of S3: Standards, specifications,  ...  Different single and double wall types were tested giving STC values up to 44 riB.  ... 
doi:10.1121/1.414267 fatcat:gtdrkztuvfbova3a4rdj2f7umu

Linear algebra software for large-scale accelerated multicore computing

A. Abdelfattah, H. Anzt, J. Dongarra, M. Gates, A. Haidar, J. Kurzak, P. Luszczek, S. Tomov, I. Yamazaki, A. YarKhan
2016 Acta Numerica  
Examples are given with fundamental dense linear algebra algorithms – from the LU, QR, Cholesky, and LDLT factorizations needed for solving linear systems of equations, to eigenvalue and singular value  ...  Here we present the state-of-the-art design and implementation practices for the acceleration of the predominant linear algebra algorithms on large-scale accelerated multicore systems.  ...  The approximation accuracy of the factorization can be enhanced by allowing for additional fill-in in the incomplete factors.  ... 
doi:10.1017/s0962492916000015 fatcat:cwsstweghjaj7ff6fu62lmn6ce
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