This work presents a comparison study of different numerical methods to solve Black-Scholes-type partial differential equations (PDE) in the convection-dominated case, i.e., for European options, if the ratio of the risk-free interest rate and the squared volatility-known in fluid dynamics as Péclet number-is high. For Asian options, additional similar problems arise when the “spatial” variable, the stock price, is close to zero.

Here we focus on three methods: the exponentially fitted scheme, a modification of Wang’s finite volume method specially designed for the Black-Scholes equation, and the Kurganov-Tadmor scheme for a general convection-diffusion equation, that is applied for the first time to option pricing problems. Special emphasis is put in the Kurganov-Tadmor because its flexibility allows the simulation of a great variety of types of options and it exhibits quadratic convergence. For the reduction technique proposed by Wilmott, a put-call parity is presented based on the similarity reduction and the put-call parity expression for Asian options. Finally, we present experiments and comparisons with different (non)linear Black-Scholes PDEs.

An interesting discretization method for Helmholtz equations was introduced in B. Després [1]. This method is based on the ultra weak variational formulation (UWVF) and the wave shape functions, which are exact solutions of the governing Helmholtz equation. In this paper we are concerned with fast solver for the system generated by the method in [1]. We propose a new preconditioner for such system, which can be viewed as a combination between a coarse solver and the block diagonal preconditioner introduced in [13]. In our numerical experiments, this preconditioner is applied to solve both two-dimensional and three-dimensional Helmholtz equations, and the numerical results illustrate that the new preconditioner is much more efficient than the original block diagonal preconditioner.

Analyses were performed on the dispersion overshoot and inverse dissipation of the high-order finite difference scheme using Fourier and precision analysis. Schemes under discussion included the pointwise- and staggered-grid type, and were presented in weighted form using candidate schemes with third-order accuracy and three-point stencil. All of these were commonly used in the construction of difference schemes. Criteria for the dispersion overshoot were presented and their critical states were discussed. Two kinds of instabilities were studied due to inverse dissipation, especially those that occur at lower wave numbers. Criteria for the occurrence were presented and the relationship of the two instabilities was discussed. Comparisons were made between the analytical results and the dispersion/dissipation relations by Fourier transformation of typical schemes. As an example, an application of the criteria was given for the remedy of inverse dissipation in Weirs & Martín’s third-order scheme.

In this paper, a meshless regularization method of fundamental solutions is proposed for a two-dimensional, two-phase linear inverse Stefan problem. The numerical implementation and analysis are challenging since one needs to handle composite materials in higher dimensions. Furthermore, the inverse Stefan problem is ill-posed since small errors in the input data cause large errors in the desired output solution. Therefore, regularization is necessary in order to obtain a stable solution. Numerical results for several benchmark test examples are presented and discussed.

A submerged turbulent plane jet in shallow water impinging vertically onto the free surface will produce a large-scale flapping motion when the jet exit velocity is larger than a critical one. The flapping phenomenon is verified in this paper through a large eddy simulation where the free surface is modeled by volume of fluid approach. The quantitative results for flapping jet are found to be in good agreement with available experimental data in terms of mean velocity, flapping-induced velocity and turbulence intensity. Results show that the flapping motion is a new flow pattern with characteristic flapping frequency for submerged turbulent plane jets, the mean centerline velocity decay is considerably faster than that of the stable impinging jet without flapping motion, and the flapping-induced velocities are as important as the turbulent fluctuations.

This paper proposes a Susceptible-Infective-Susceptible (SIS) model to study the malaria transmission with treatment by considering logistic growth of mosquito population. In this work, it is assumed that the treatment rate is proportional to the number of infectives below the capacity and is constant when the number of infectives is greater than the capacity. We find that the system exhibits backward bifurcation if the capacity is small and it gives bi-stable equilibria which makes the system more sensitive to the initial conditions. The existence and stability of the equilibria of the model are discussed in-detail and numerical simulations are presented to illustrate the numerical results.

In this article, we have introduced a Taylor collocation method, which is based on collocation method for solving fractional Riccati differential equation. The fractional derivatives are described in the Caputo sense. This method is based on first taking the truncated Taylor expansions of the solution function in the fractional Riccati differential equation and then substituting their matrix forms into the equation. Using collocation points, the systems of nonlinear algebraic equation is derived. We further solve the system of nonlinear algebraic equation using Maple 13 and thus obtain the coefficients of the generalized Taylor expansion. Illustrative examples are presented to demonstrate the effectiveness of the proposed method.