• Title/Summary/Keyword: finite difference method

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FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION

  • HEO, YOUNGJIN;HAN, HYUNSOO;JANG, HANBYEOL;CHOI, YONGHO;KIM, JUNSEOK
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.23 no.1
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    • pp.19-30
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    • 2019
  • In this paper, we develop an accurate explicit finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition. In general, the correlation term in multi-asset options is problematic in numerical treatments partially due to cross derivatives and numerical boundary conditions at the far field domain corners. In the proposed hybrid boundary condition, we use a linear boundary condition at the boundaries where at least one asset is zero. After updating the numerical solution by one time step, we reduce the computational domain so that we do not need boundary conditions. To demonstrate the accuracy and efficiency of the proposed algorithm, we calculate option prices and their Greeks for the two-asset European call and cash-or-nothing options. Computational results show that the proposed method is accurate and is very useful for nonlinear boundary conditions.

A photo-thermal interaction in semi-conductor medium with cylindrical cavity by analytical and numerical methods

  • Abbas, Ibrahim A.
    • Geomechanics and Engineering
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    • v.25 no.4
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    • pp.267-273
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    • 2021
  • In this work, we compare the analytical solutions with the numerical solutions for photothermal interactions in semiconductor medium containing cylindrical cavity. This paper is devoted to a study of the photothermal interactions in semiconductor medium in the context of the coupled photo-thermal model. The basic equations are formulated in the domain of Laplace transform and the eigenvalue scheme are used to get the analytical solutions. The numerical solution is obtained by using the implicit finite difference method (IFDM). A comparison between the analytical solution and the numerical solutions are obtained. It is found that the implicit finite difference method (IFDM) is applicable, simple and efficient for such problems.

Elastodynamic and wave propagation analysis in a FG graphene platelets-reinforced nanocomposite cylinder using a modified nonlinear micromechanical model

  • Hosseini, Seyed Mahmoud;Zhang, Chuanzeng
    • Steel and Composite Structures
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    • v.27 no.3
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    • pp.255-271
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    • 2018
  • This paper deals with the transient dynamic analysis and elastic wave propagation in a functionally graded graphene platelets (FGGPLs)-reinforced composite thick hollow cylinder, which is subjected to shock loading. A micromechanical model based on the Halpin-Tsai model and rule of mixture is modified for nonlinear functionally graded distributions of graphene platelets (GPLs) in polymer matrix of composites. The governing equations are derived for an axisymmetric FGGPLs-reinforced composite cylinder with a finite length and then solved using a hybrid meshless method based on the generalized finite difference (GFD) and Newmark finite difference methods. A numerical time discretization is performed for the dynamic problem using the Newmark method. The dynamic behaviors of the displacements and stresses are obtained and discussed in detail using the modified micromechanical model and meshless GFD method. The effects of the reinforcement of the composite cylinder by GPLs on the elastic wave propagations in both displacement and stress fields are obtained for various parameters. It is concluded that the proposed micromechanical model and also the meshless GFD method have a high capability to simulate the composite structures under shock loadings, which are reinforced by FGGPLs. It is shown that the modified micromechanical model and solution technique based on the meshless GFD method are accurate. Also, the time histories of the field variables are shown for various parameters.

MODIFIED NUMEROV METHOD FOR SOLVING SYSTEM OF SECOND-ORDER BOUNDARY-VALUE PROBLEMS

  • Al-Said, Eisa A.;Noor, Muhammad Aslam
    • Journal of applied mathematics & informatics
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    • v.8 no.1
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    • pp.129-136
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    • 2001
  • We introduce and discuss a new numerical method for solving system of second order boundary value problems, where the solution is required to satisfy some extra continuity conditions on the subintervals in addition to the usual boundary conditions. We show that the present method gives approximations which are better than that produced by other collocation, finite difference and spline methods. Numerical example is presented to illustrate the applicability of the new method. AMS Mathematics Subject Classification : 65L12, 49J40.

CUBIC SPLINE METHOD FOR SOLVING TWO-POINT BOUNDARY-VALUE PROBLEMS

  • Al Said, Eisa-A.
    • Journal of applied mathematics & informatics
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    • v.5 no.3
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    • pp.759-770
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    • 1998
  • In this paper we use uniform cubic spline polynomials to derive some new consistency relations. These relations are then used to develop a numerical method for computing smooth approxi-mations to the solution and its first second as well as third derivatives for a second order boundary value problem. The proesent method out-performs other collocations finite-difference and splines methods of the same order. numerical illustratiosn are provided to demonstrate the practical use of our method.

AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS

  • Jeong, Da-Rae;Kim, Jun-Seok;Wee, In-Suk
    • Communications of the Korean Mathematical Society
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    • v.24 no.4
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    • pp.617-628
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    • 2009
  • We present an efficient and accurate finite-difference method for computing Black-Scholes partial differential equations with multiunderlying assets. We directly solve Black-Scholes equations without transformations of variables. We provide computational results showing the performance of the method for two underlying asset option pricing problems.

A Gridless Finite Difference Method for Elastic Crack Analysis (탄성균열해석을 위한 그리드 없는 유한차분법)

  • Yoon, Young-Cheol;Kim, Dong-Jo;Lee, Sang-Ho
    • Journal of the Computational Structural Engineering Institute of Korea
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    • v.20 no.3
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    • pp.321-327
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    • 2007
  • This study presents a new gridless finite difference method for solving elastic crack problems. The method constructs the Taylor expansion based on the MLS(Moving Least Squares) method and effectively calculates the approximation and its derivatives without differentiation process. Since no connectivity between nodes is required, the modeling of discontinuity embedded in the domain is very convenient and discontinuity effect due to crack is naturally implemented in the construction of difference equations. Direct discretization of the governing partial differential equations makes solution process faster than other numerical schemes using numerical integration. Numerical results for mode I and II crack problems demonstrates that the proposed method accurately and efficiently evaluates the stress intensity factors.

Numerical Techniques for Modeling of Ultrasonic Testing - The Finite Difference and Finite Element Methods (초음파검사의 수치적 모델링 기법 - 유한차분법 및 유한요소법)

  • Yim, Hyun-June;Yoo, Seung-Hyun
    • Journal of the Korean Society for Nondestructive Testing
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    • v.20 no.2
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    • pp.116-129
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    • 2000
  • Due to the great complexity of the physical phenomena involved in most ultrasonic nondestructive testing, the numerical method is effective in many cases of their theoretical modeling. A brief overview is provided in this paper of the numerical methods used in modeling ultrasonic nondestructive testing, with an emphasis on the finite difference and the finite element methods. The procedures of execution, special considerations required, and some previous research results of the finite difference and the finite element methods are presented, with a rather extensive list of work reported in the literature. These numerical modeling techniques for ultrasonic nondestructive testing are expected to be more reliable and more convenient, as a result of the continuing technological development of computers.

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An Accuracy Improvement in Solving Scalar Wave Equation by Finite Difference Method in Frequency Domain Using 49 Points Weighted Average Method (주파수영역에서 49점 가중평균을 이용한 scalar 파동방정식의 유한차분식 정확도 향상을 위한 연구)

  • Jang, Seong Hyung;Shin, Chang Soo;Yang, Dong Woo;Yang, Sung Jin
    • Economic and Environmental Geology
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    • v.29 no.2
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    • pp.183-192
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    • 1996
  • Much computing time and large computer memory are needed to solve the wave equation in a large complex subsurface layer using finite difference method. The time and memory can be reduced by decreasing the number of grid per minimun wave length. However, decrease of grid may cause numerical dispersion and poor accuracy. In this study, we present 49 points weighted average method which save the computing time and memory and improve the accuracy. This method applies a new weighted average to the coordinate determined by transforming the coordinate of conventional 5 points finite difference stars to $0^{\circ}$ and $45^{\circ}$, 25 points finite differenc stars to $0^{\circ}$, $26.56^{\circ}$, $45^{\circ}$, $63.44^{\circ}$ and 49 finite difference stars to $0^{\circ}$, $18.43^{\circ}$, $33.69^{\circ}$, $45^{\circ}$, $56.30^{\circ}$, $71.56^{\circ}$. By this method, the grid points per minimum wave length can be reduced to 2.5, the computing time to $(2.5/13)^3$, and the required core memory to $(2.5/13)^4$ computing with the conventional method.

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Transient Analysis of General Dispersive Media Using Laguerre Functions (라게르 함수를 이용한 일반적인 분산 매질의 시간 영역 해석)

  • Lee, Chang-Hwa;Kwon, Woo-Hyen;Jung, Baek-Ho
    • The Journal of Korean Institute of Electromagnetic Engineering and Science
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    • v.22 no.10
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    • pp.1005-1011
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    • 2011
  • In this paper, we present a marching-on-in-degree(MOD) finite difference method(FDM) based on the Helmholtz wave equation for analyzing transient electromagnetic responses in a general dispersive media. The two issues related to the finite difference approximation of the time derivatives and the time consuming convolution operations are handled analytically using the properties of the Laguerre functions. The basic idea here is that we fit the transient nature of the fields, the flux densities, the permittivity with a finite sum of orthogonal Laguerre functions. Through this novel approach, not only the time variable can be decoupled analytically from the temporal variations but also the final computational form of the equations is transformed from finite difference time-domain(FDTD) to a finite difference formulation through a Galerkin testing. Representative numerical examples are presented for transient wave propagation in general Debye, Drude, and Lorentz dispersive medium.