کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
471333 | 698622 | 2016 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
This paper establishes lattice Boltzmann models with five amending functions for solving system of partial differential equations (PDEs) arising in Asian options pricing with regime switching. With the Chapman–Enskog multi-scale expansion, the PDEs are recovered correctly from the continuous Boltzmann equation and then the lattice Boltzmann method (LBM) is proposed. In the LBM, the coefficients of equilibrium distribution and amending functions are taken as polynomials instead of constants in the traditional LBMs. The LBM has second-order convergence rate in space and first-order convergence rate in time. The stability, convergence rates and computational cost of LBMs are studied and verified by numerical examples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Mathematics with Applications - Volume 71, Issue 7, April 2016, Pages 1448–1463
Journal: Computers & Mathematics with Applications - Volume 71, Issue 7, April 2016, Pages 1448–1463
نویسندگان
Zhiqiang Zhou, Jingtang Ma,