A finite difference method for fractional partial differential equation

2009 ◽  
Vol 215 (2) ◽  
pp. 524-529 ◽  
Author(s):  
Yang Zhang
2019 ◽  
Vol 5 (01) ◽  
pp. 41-46
Author(s):  
Wahyudi Sastro

Abstract. Explicit finite difference method is used to approximate a partial differential equation that is applied to determine the option pricing. The results of this study note that the calculation of option pricing using explicit finite difference method is negative when partition N ≥ 25 with a value of -2.21. Thus, the results of the calculation of option pricing are not convergent and away from the results of analyzing the option pricirng (Black-Scholes) solution. This is because one of the three probabilities Bj = 1- σ2j2Δt  is negative, namely (-0.12) when j ≥ 12 with S ≥ 16.25  (in units). So this explicit finite difference method cannot be used to determine the option pricing. Keywords: Option Pricing, Explicit Finite Difference Method   Abstrak. Metode beda hingga eksplisit digunakan untuk mengaproksimasi suatu persamaan diferensial pasial yang aplikasikan untuk menentukan harga opsi. Hasil penelitian ini diketahui bahwa perhitungan harga opsi dengan menggunakan metode beda hingga eksplisit bernilai negatif pada saat partisi N ≥ 25  dengan nilai -2,21. Dengan demikian, hasil perhitungan harga opsi tidak konvergen dan menjauhi hasil solusi analitik perhitungan harga opsi (Black-Scholes). Hal ini disebabkan karena salah satu ketiga probabilitas Bj = 1- σ2j2Δt yaitu  bernilai negatif yaitu (-0.12) saat j ≥ 12 dengan S ≥ 16.25 (dalam satuan). Sehingga metode beda hingga eksplisit ini tidak dapat digunakan untuk menentukan harga opsi.  Kata Kunci: Harga Opsi, Metode Beda Hingga Eksplisit.


Information ◽  
2020 ◽  
Vol 23 (3) ◽  
pp. 159-192
Author(s):  
Ikuya Uematsu ◽  
◽  
Lei Li ◽  

The Option is well known as one of the typical financial derivatives. In order to determine the price of this option, the finite difference method is used, which must be calculated using the Black―Scholes partial differential equation. In this paper, efficient computation is performed for tridiagonal Toeplitz linear equations which is needed when solving Black―Scholes partial differential equation. Let size of discretization with time is n, and size of discretization for property's value is m, we propose a method to find the solution with the required number of parallel steps of 4n log m, and the required number of processors m + log m.


1993 ◽  
Vol 60 (1) ◽  
pp. 167-174 ◽  
Author(s):  
N. S. Abhyankar ◽  
E. K. Hall ◽  
S. V. Hanagud

The objective of this paper is to examine the utility of direct, numerical solution procedures, such as finite difference or finite element methods, for partial differential equations in chaotic dynamics. In the past, procedures for solving such equations to detect chaos have utilized Galerkin approximations which reduce the partial differential equations to a set of truncated, nonlinear ordinary differential equations. This paper will demonstrate that a finite difference solution is equivalent to a Galerkin solution, and that the finite difference method is more powerful in that it may be applied to problems for which the Galerkin approximations would be difficult, if not impossible to use. In particular, a nonlinear partial differential equation which models a slender, Euler-Bernoulli beam in compression issolvedto investigate chaotic motions under periodic transverse forcing. The equation, cast as a system of firstorder partial differential equations is directly solved by an explicit finite difference scheme. The numerical solutions are shown to be the same as the solutions of an ordinary differential equation approximating the first mode vibration of the buckled beam. Then rigid stops of finite length are incorporated into the model to demonstrate a problem in which the Galerkin procedure is not applicable. The finite difference method, however, can be used to study the stop problem with prescribed restrictions over a selected subdomain of the beam. Results obtained are briefly discussed. The end result is a more general solution technique applicable to problems in chaotic dynamics.


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