• Title/Summary/Keyword: free boundary

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FINITE ELEMENT METHODS FOR THE PRICE AND THE FREE BOUNDARY OF AMERICAN CALL AND PUT OPTIONS

  • Kang, Sun-Bu;Kim, Taek-Keun;Kwon, Yong-Hoon
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.12 no.4
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    • pp.271-287
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    • 2008
  • This paper deals with American call and put options. Determining the fair price and the free boundary of an American option is a very difficult problem since they depends on each other. This paper presents numerical algorithms of finite element method based on the three-level scheme to compute both the price and the free boundary. One algorithm is designed for American call options and the other one for American put options. These algorithms are formulated on the system of the Jamshidian equation for the option price and the free boundary. Here, the Jamshidian equation is of a kind of the nonhomogeneous Black-Scholes equations. We prove the existence and uniqueness of the numerical solution by the Lax-Milgram lemma and carried out extensive numerical experiments to compare with various methods.

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Free Vibration Analysis of Arbitrarily Shaped Plates with Free Edges Using Non-dimensional Dynamic Influence Functions (무차원 동영향 함수를 이용한 자유단 경계를 가진 임의 형상 평판의 자유진동해석)

  • 강상욱;김일순;이장무
    • Transactions of the Korean Society for Noise and Vibration Engineering
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    • v.13 no.10
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    • pp.821-827
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    • 2003
  • The so-called boundary node method (or NDIF method) that was developed by the authors has been extended for free vibration analysis of arbitrarily shaped plates with free edges. Since the proposed method requires no interpolation functions. no integration Procedure is needed on boundary edges of the plates and only a small amount of numerical calculation is involved, compared with FEM and BEM. In order to explain tile reason why spurious eigenvalues are generated when the NDIF method is applied to free plates, the NDIF method has been considered for free vibration analysis of both a fixed string and a free beam. Finally, verification examples show that natural frequencies obtained by the present method agree well with those given by an exact method or a numerical method (ANSYS).

Free Vibration Analysis of Arbitrarily Shaped Polygonal Plates with Free Edges by Considering the Phenomenon of Stress Concentration at Corners (꼭지점에서의 응력 집중 현상을 고려한 자유단 경계조건을 가진 임의 다각형 형상 평판의 자유 진동 해석)

  • Kang, Sang-Wook
    • Transactions of the Korean Society for Noise and Vibration Engineering
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    • v.17 no.3 s.120
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    • pp.220-225
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    • 2007
  • Free vibration analysis using the method of NDIF (non-dimensional dynamic influence function), which was developed by the author, is extended to arbitrarily shaped polygonal plates with free edges. Local Cartesian coordinate systems are employed to apply the free boundary condition to nodes distributed along the edges of the plate of interest. Furthermore, a new way for applying the free boundary condition to nodes located at corners of the plate is for the first time introduced by considering the phenomenon of stress concentration at the corners. Two case studies show that the proposed method is valid and accurate when the eigenvalues by the proposed method are compared to those by FEM(ANSYS).

An efficient and simple refined theory for free vibration of functionally graded plates under various boundary conditions

  • Zouatnia, Nafissa;Hadji, Lazreg;Kassoul, Amar
    • Geomechanics and Engineering
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    • v.16 no.1
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    • pp.1-9
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    • 2018
  • In this paper an efficient and simple refined shear deformation theory is presented for the free vibration of Functionally Graded Plates Under Various Boundary Conditions. The theory accounts for a quadratic variation of the transverse shear strains across the thickness, and satisfies the zero traction boundary conditions on the top and bottom surfaces of the plate without using shear correction factors. The number of independent unknowns of present theory is four, as against five in other shear deformation theories. The plates are considered of the type having two opposite sides simply-supported, and the two other sides having combinations of simply-supported, clamped, and free boundary conditions. The mechanical properties of functionally graded material are assumed to vary according to power law distribution of the volume fraction of the constituents. Equations of motion are derived using Hamilton's principle. The results of this theory are compared with those of other shear deformation theories. Various numerical results including the effect of boundary conditions, power-law index, plate aspect ratio, and side-to-thickness ratio on the free vibration of FGM plates are presented.

Boundary Method for Shape Design Sensitivity Analysis in Solving Free-Surface Flow Problems

  • Choi Joo Ho;Kwak H. G.;Grandhi R. V.
    • Journal of Mechanical Science and Technology
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    • v.19 no.12
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    • pp.2231-2244
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    • 2005
  • An efficient boundary-based optimization technique is applied in the numerical computation of free surface flow problems, by reformulating them into the equivalent optimal shape design problems. While the sensitivity in the boundary method has mainly been calculated using the boundary element method (BEM) as an analysis means, the finite element method (FEM) is used in this study because of its popularity and easy-to-use features. The advantage of boundary method is that the design velocity vectors are needed only on the boundary, not over the whole domain. As such, a determination of the complicated domain design velocity field, which is necessary in the domain method, is eliminated, thereby making the process easy to implement and efficient. Seepage and supercavitating flow problem are chosen to illustrate the accuracy and effectiveness of the proposed method.

Exact solutions of axisymmetric free vibration of transversely isotropic magnetoelectroelastic laminated circular plates

  • Chen, Jiangying;Xu, Rongqiao;Huang, Xusheng;Ding, Haojiang
    • Structural Engineering and Mechanics
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    • v.23 no.2
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    • pp.115-127
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    • 2006
  • The axisymmetric free vibrations of transversely isotropic magnetoelectroelastic laminated circular plates are studied. Based on the three-dimensional governing equations of magnetoelectroelastic medium, the state space equations of laminated circular plates are obtained. By using the finite Hankel transform and rendering the free terms left by the transform in terms of the boundary quantities, the solutions of the state space equations are given for two kinds of boundary conditions. The frequency equations of the free vibration are derived using the propagator matrix method and the boundary conditions at top and bottom surfaces. By virtue of the inverse Hankel transform, the mode shapes are also determined. Since the solutions strictly satisfy the governing equations in the region and the boundary conditions at the edges, they are the three-dimensionally exact. Finally, the natural frequencies of such plates are tabulated and compared with those of the piezoelectric and elastic plates in the numerical example.

Multimode Boundary-Layer Transition on an Airfoil Influenced by Periodically Passing Wake under the Free-stream Turbulence (자유유동 난류 하의 주기적 통과 후류의 영향을 받는 익형 위 경계층 천이)

  • Park Tae-Choon;Jeon Woo-Pyung;Kang Shin-Hyoung
    • Proceedings of the KSME Conference
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    • 2002.08a
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    • pp.687-690
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    • 2002
  • Multimode boundary-layer transition on a NACA0012 airfoil is experimentally investigated under periodically passing wakes and the moderate level of free-stream turbulence. The periodic wakes are generated by rotating circular cylinders clockwise or counterclockwise around the airfoil. The free-stream turbulence is produced by a grid upstream of the rotating cylinder, and its intensity(Tu) at the leading edge of the airfoil is $0.5\;or\;3.5\;{\%}$. The Reynolds number ($Re_c$) based on chord length (C) of the alrfoil is $2.0{\times}10^5$, and Strouhal number ($St_c$) of the passing wake is about 0.7. Time- and phase-averaged streamwise mean velocities and turbulence fluctuations are measured with a single hot-wire probe, and especially, the corresponding wall skin friction is evaluated using a computational Preston tube method. The wake-passing orientation changes pressure distribution on the airfoil in a different manner irrespective of the free-stream turbulence. Regardless of free-stream turbulence level, turbulent patches for the receding wakes propagate more rapidly than those for the approaching wake because adverse pressure gradient becomes larger. The patch under the high free-stream turbulence ($Tu=3.5{\%}$) grows more greatly in laminar-like regions compared with that under the low background turbulence ($Tu=0.5{\%}$) in laminar regions. The former, however, does not greatly change the original turbulence level in the very near-wall region while the latter does it. At further downstream, the former interacts vigorously with high environmental turbulence inside the pre-existing transitional boundary layer and gradually lose his identification, whereas the latter keep growing in the laminar boundary layer. The calmed region is more clearly observed under the lower free-stream turbulence level and for the receding wakes. The calmed region delays the breakdown further downstream and stabilizes more the boundary layer.

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Determination of Dynamic Free Span Length for Subsea Pipelines with General Boundary Conditions (일반화된 경계조건을 갖는 해저파이프라인의 동적 자유경간 결정 방법)

  • 박한일
    • Journal of Korean Society of Coastal and Ocean Engineers
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    • v.13 no.4
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    • pp.290-295
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    • 2001
  • Subsets pipelines are exposed to several potential risks of damage due to corrosion, soil instability, anchor impact and other hazards. One of the main risk factors for the safety of a subsea pipeline is its free spanning. This paper examines the safety of subsea pipelines with free span under axial compressive load. The variation of allowable lengths of dynamic free span is examined for generalized boundary conditions. The free span is modelled as a beam with an elastic foundations and the boundary condition is replaced by linear and rotational springs at each end. A dynamic free span curve is obtained with a function of non-dimensional parameters and can be used usefully for the design of subsea pipelines with a free span. A case study is carried out to introduce the application method of the curve.

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Flow behaviors of square jets surface discharged and submerged discharged into shallow water (천해역에 수표면 및 수중방류된 사각형제트의 흐름 거동)

  • Kim, Dae-Geun;Kim, Dong-Ok
    • Journal of Korean Society of Water and Wastewater
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    • v.25 no.5
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    • pp.627-634
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    • 2011
  • In the present study, the flow behaviors of square jets surface discharged and submerged discharged into shallow water were each simulated using computational fluid dynamics, and the results were compared. As for the verification of the models, the results of the hydraulic experiment conducted by Sankar, et al. (2009) were used. According to the results of the verification, the present application of computational fluid dynamics to the flow analysis of square jets discharged into shallow water was valid. As for the wall jet, which is one form of submerged discharges, at the bottom wall boundary, the peak velocity of the jet rapidly moved from the center of the jet to the bottom wall boundary due to the restriction of jet entrainment and the no-slip condition of the bottom wall boundary, and, as for the surface discharge, because jet entrainment is limited on the free water surface, the peak velocity of the jet moved from the center of the jet to the free water surface. This is because jet entrainment is restricted at the bottom wall boundary and the surface so that the momentum of the central core of the jet is preserved for considerable time at the bottom wall boundary and the surface. In addition, due to the effect of the bottom wall boundary and the free water surface, the jet discharged into shallow water had a smaller velocity diminution rate near the discharge outlet than did the free jet; at a location where it was so distant from the discharge outlet that the vertical profile of the velocity was nearly equal (b/x =20~30), moreover, it had a far smaller velocity diminution rate than did the free jet due to the effect of the finite depth.