Search results for "Backward differentiation formula"
showing 2 items of 2 documents
Operator splitting methods for American option pricing
2004
Abstract We propose operator splitting methods for solving the linear complementarity problems arising from the pricing of American options. The space discretization of the underlying Black-Scholes Scholes equation is done using a central finite-difference scheme. The time discretization as well as the operator splittings are based on the Crank-Nicolson method and the two-step backward differentiation formula. Numerical experiments show that the operator splitting methodology is much more efficient than the projected SOR, while the accuracy of both methods are similar.
Adaptive discontinuous evolution Galerkin method for dry atmospheric flow
2014
We present a new adaptive genuinely multidimensional method within the framework of the discontinuous Galerkin method. The discontinuous evolution Galerkin (DEG) method couples a discontinuous Galerkin formulation with approximate evolution operators. The latter are constructed using the bicharacteristics of multidimensional hyperbolic systems, such that all of the infinitely many directions of wave propagation are considered explicitly. In order to take into account multiscale phenomena that typically appear in atmospheric flows nonlinear fluxes are split into a linear part governing the acoustic and gravitational waves and a nonlinear part that models advection. Time integration is realiz…