scholarly journals A Fitted L-Multi-Point Flux Approximation Method for Pricing Options

2021 ◽  
Author(s):  
Rock Stephane Koffi ◽  
Antoine Tambue
Keyword(s):  
Finite Volume Method ◽  
Finite Volume ◽  
Approximation Method ◽  
Special Kind ◽  
Diffusion Term ◽  
Pricing Options ◽  
Flux Approximation ◽  
Black Scholes ◽  
Upwind Methods ◽  
Volume Method

AbstractIn this paper, we introduce a special kind of finite volume method called Multi-Point Flux Approximation method (MPFA) to price European and American options in two dimensional domain. We focus on the L-MPFA method for space discretization of the diffusion term of Black–Scholes operator. The degeneracy of the Black-Scholes operator is tackled using the fitted finite volume method. This combination of fitted finite volume method and L-MPFA method coupled to upwind methods gives us a novel scheme, called the fitted L-MPFA method. Numerical experiments show the accuracy of the novel fitted L-MPFA method comparing to well known schemes for pricing options.

Higher Resolution Hybrid-Upwind Spectral Finite-Volume Methods, for Flow in Porous and Fractured Media on Unstructured Grids

2021 ◽  
Author(s):  
Yawei Xie ◽  
Michael G. Edwards
Keyword(s):  
Finite Volume Method ◽  
Finite Volume ◽  
Unstructured Grids ◽  
Concentration Field ◽  
Convective Transport ◽  
High Order ◽  
Spectral Volume ◽  
Flux Approximation ◽  
Triangular Cell ◽  
Volume Method

Abstract A novel higher resolution spectral volume method coupled with a control-volume distributed multi-Point flux approximation (CVD-MPFA) is presented on unstructured triangular grids for subsurface reservoir simulation. The flow equations involve an essentially hyperbolic convection equation coupled with an elliptic pressure equation resulting from Darcy’s law together with mass conservation. The spectral volume (SV) method is a locally conservative, efficient high-order finite volume method for convective flow. In 2D geometry, the triangular cell is subdivided into sub-cells, and the average state variables in the sub-cells are used to reconstruct a high-order polynomial in the triangular cell. The focus here is on an efficient strategy for reconstruction of both a higher resolution approximation of the convective transport flux and Darcy-flux approximation on sub-cell interfaces, which is also coupled with a discrete fracture model. The strategy involves coupling of the SV method and reconstructed CVD-MPFA fluxes at the faces of the spectral volume, to obtain an efficient finer scale higher resolution finite-volume method which solves for both the saturation and pressure. A limiting procedure based on a Barth-Jespersen type limiter is used to prevent non-physical oscillations on unstructured grids. The fine scale saturation/concentration field is then updated via the reconstructed finite volume approximation over the sub-cell control-volumes. Performance comparisons are presented for two phase flow problems on 2D unstructured meshes including fractures. The results demonstrate that the spectral-volume method achieves further enhanced resolution of flow and fronts in addition to that of achieved by the standard higher resolution method over first order upwind, while improving upon efficiency.

Nonlinear Finite Volume Method for 3D Discrete Fracture-Matrix Simulations

SPE Journal ◽  
2020 ◽  
Vol 25 (04) ◽  
pp. 2079-2097 ◽  
Author(s):  
Wenjuan Zhang ◽  
Mohammed Al Kobaisi
Keyword(s):  
Finite Volume Method ◽  
Finite Volume ◽  
Computational Domain ◽  
Matrix Domain ◽  
Fracture Planes ◽  
Flux Approximation ◽  
Discrete Fracture ◽  
The Matrix ◽  
Permeability Anisotropy ◽  
Volume Method

Summary We present a lower dimensional discrete fracture-matrix (DFM) model for general nonorthogonal meshes populated by anisotropic permeability tensors in 3D spatial dimension. The discrete fractures are represented as 2D planes embedded in a 3D matrix domain and serve as internal boundaries for conforming meshing of the entire computational domain. The nonlinear finite volume method (FVM) is used to derive flux for both matrix-matrix connections and fracture-fracture connections to account for permeability anisotropy in the matrix and inside the fracture planes, whereas the linear two-point flux approximation (TPFA) is used to couple the matrix and fracture together. The nonlinear method proceeds by first constructing two one-sided fluxes for a connection, and then a unique flux is obtained by a convex combination of the two one-sided fluxes. Construction of one-sided fluxes requires introducing the so-called harmonic averaging points as auxiliary points. While the nonlinear FVM can be applied to derive the flux for matrix-matrix connections in a straightforward way, difficulties arise for fracture-fracture connections because of the presence of fracture intersections. Therefore, to construct the one-sided fluxes for fracture-fracture connections, we first present a novel generalization of the concept of harmonic averaging point so that auxiliary points can be calculated at fracture intersections. Unique nonlinear fluxes are then derived for fracture-fracture connections and fracture intersections. Results of the numerical examples demonstrate that the linear TPFA coupling of matrix and fracture seems to be adequate even for relatively strong anisotropy on a non-K-orthogonal grid, and the new DFM model can accurately capture the permeability anisotropy effect inside the fracture planes as well as the permeability anisotropy in the matrix domain compared with the equidimensional models in which the fractures are gridded explicitly. Finally, the DFM model is applied successfully to deal with complex fracture networks embedded in a heterogeneous matrix domain or fracture network with challenging geometric features.

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