scholarly journals Approximate Solution of Volterra Integro-Fractional Differential Equations Using Quadratic Spline Function

2021 ◽  
Vol 101 (1) ◽  
pp. 50-64
Author(s):  
K.H.F. Jwamer ◽  
◽  
Sh.Sh. Ahmed ◽  
D.Kh. Abdullah ◽  
◽  
...  
Keyword(s):  
Spline Function ◽  
Initial Point ◽  
Richardson Extrapolation ◽  
Finite Difference Approximation ◽  
Difference Approximation ◽  
Quadratic Spline ◽  
New Techniques ◽  
Fractional Differential ◽  
Richardson Extrapolation Method ◽  
Richardson Extrapolation Technique

In this paper, we suggest two new methods for approximating the solution to the Volterra integro-fractional differential equation (VIFDEs), based on the normal quadratic spline function and the second method used the Richardson Extrapolation technique the usage of discrete collocation points. The fractional derivatives are regarded in the Caputo perception. A new theorem for the Richardson Extrapolation points for using the finite difference approximation of Caputo derivative is introduced with their proof. New techniques using the first derivative at the initial point such that obtained by follow two cases the first using trapezoidal rule and the second using the first step of linear spline function using the Richardson Extrapolation method. Specifically, the program is given in examples analysis in Matlab (R2018b). Numerical examples are available to illuminate the productivity and trustworthiness of the methods, as well as, follow the Clenshaw Curtis rule for calculating the required integrals for those equations.

SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL

2021 ◽  
pp. 1-21
Author(s):  
GERALDINE TOUR ◽  
NAWDHA THAKOOR ◽  
DÉSIRÉ YANNICK TANGMAN
Keyword(s):  
Finite Difference ◽  
Option Pricing ◽  
Time Discretization ◽  
Finite Difference Approximation ◽  
Difference Approximation ◽  
Spectral Approximation ◽  
Barrier Option ◽  
Order Accuracy ◽  
Black Scholes ◽  
Richardson Extrapolation Method

Abstract We propose a Legendre–Laguerre spectral approximation to price the European and double barrier options in the time-fractional framework. By choosing an appropriate basis function, the spectral discretization is used for the approximation of the spatial derivatives of the time-fractional Black–Scholes equation. For the time discretization, we consider the popular $L1$ finite difference approximation, which converges with order $\mathcal {O}((\Delta \tau )^{2-\alpha })$ for functions which are twice continuously differentiable. However, when using the $L1$ scheme for problems with nonsmooth initial data, only the first-order accuracy in time is achieved. This low-order accuracy is also observed when solving the time-fractional Black–Scholes European and barrier option pricing problems for which the payoffs are all nonsmooth. To increase the temporal convergence rate, we therefore consider a Richardson extrapolation method, which when combined with the spectral approximation in space, exhibits higher order convergence such that high accuracies over the whole discretization grid are obtained. Compared with the traditional finite difference scheme, numerical examples clearly indicate that the spectral approximation converges exponentially over a small number of grid points. Also, as demonstrated, such high accuracies can be achieved in much fewer time steps using the extrapolation approach.

Spectrally accurate option pricing under the time fractional Black-Scholes model

2021 ◽  
Vol 63 ◽  
pp. 228-248
Author(s):  
Geraldine Tour ◽  
Nawdha Thakoor ◽  
Désiré Yannick Tangman
Keyword(s):  
Finite Difference ◽  
Option Pricing ◽  
Time Discretization ◽  
Finite Difference Approximation ◽  
Difference Approximation ◽  
Spectral Approximation ◽  
Barrier Option ◽  
Order Accuracy ◽  
Black Scholes ◽  
Richardson Extrapolation Method

We propose a Legendre–Laguerre spectral approximation to price the European and double barrier options in the time-fractional framework. By choosing an appropriate basis function, the spectral discretization is used for the approximation of the spatial derivatives of the time-fractional Black–Scholes equation. For the time discretization, we consider the popular \(L1\) finite difference approximation, which converges with order \(\mathcal{O}((\Delta \tau)^{2-\alpha})\) for functions which are twice continuously differentiable. However, when using the \(L1\) scheme for problems with nonsmooth initial data, only the first-order accuracy in time is achieved. This low-order accuracy is also observed when solving the time-fractional Black–Scholes European and barrier option pricing problems for which the payoffs are all nonsmooth. To increase the temporal convergence rate, we therefore consider a Richardson extrapolation method, which when combined with the spectral approximation in space, exhibits higher order convergence such that high accuracies over the whole discretization grid are obtained. Compared with the traditional finite difference scheme, numerical examples clearly indicate that the spectral approximation converges exponentially over a small number of grid points. Also, as demonstrated, such high accuracies can be achieved in much fewer time steps using the extrapolation approach.   doi:10.1017/S1446181121000286  

scholarly journals Stable and Efficient Modeling of Anelastic Attenuation in Seismic Wave Propagation

2012 ◽  
Vol 12 (1) ◽  
pp. 193-225 ◽  
Author(s):  
N. Anders Petersson ◽  
Björn Sjögreen
Keyword(s):  
Wave Equation ◽  
Finite Difference ◽  
Half Space ◽  
Material Model ◽  
Second Order ◽  
Finite Difference Approximation ◽  
Difference Approximation ◽  
Space Problem ◽  
Standard Linear Solid ◽  
Standard Linear

AbstractWe develop a stable finite difference approximation of the three-dimensional viscoelastic wave equation. The material model is a super-imposition of N standard linear solid mechanisms, which commonly is used in seismology to model a material with constant quality factor Q. The proposed scheme discretizes the governing equations in second order displacement formulation using 3N memory variables, making it significantly more memory efficient than the commonly used first order velocity-stress formulation. The new scheme is a generalization of our energy conserving finite difference scheme for the elastic wave equation in second order formulation [SIAM J. Numer. Anal., 45 (2007), pp. 1902-1936]. Our main result is a proof that the proposed discretization is energy stable, even in the case of variable material properties. The proof relies on the summation-by-parts property of the discretization. The new scheme is implemented with grid refinement with hanging nodes on the interface. Numerical experiments verify the accuracy and stability of the new scheme. Semi-analytical solutions for a half-space problem and the LOH.3 layer over half-space problem are used to demonstrate how the number of viscoelastic mechanisms and the grid resolution influence the accuracy. We find that three standard linear solid mechanisms usually are sufficient to make the modeling error smaller than the discretization error.

scholarly journals Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation

2021 ◽  
Author(s):  
Luca Vincenzo Ballestra
Keyword(s):  
Finite Difference ◽  
Optimization Procedure ◽  
Richardson Extrapolation ◽  
Mesh Optimization ◽  
Option Prices ◽  
Barrier Option ◽  
Double Barrier ◽  
Finite Difference Approximations ◽  
Barrier Option Pricing ◽  
Richardson Extrapolation Technique

AbstractWe show that the performances of the finite difference method for double barrier option pricing can be strongly enhanced by applying both a repeated Richardson extrapolation technique and a mesh optimization procedure. In particular, first we construct a space mesh that is uniform and aligned with the discontinuity points of the solution being sought. This is accomplished by means of a suitable transformation of coordinates, which involves some parameters that are implicitly defined and whose existence and uniqueness is theoretically established. Then, a finite difference scheme employing repeated Richardson extrapolation in both space and time is developed. The overall approach exhibits high efficacy: barrier option prices can be computed with accuracy close to the machine precision in less than one second. The numerical simulations also reveal that the improvement over existing methods is due to the combination of the mesh optimization and the repeated Richardson extrapolation.

Unit Mobility Ratio Displacement Calculations for Pattern Floods in Homogeneous Medium

1966 ◽  
Vol 6 (03) ◽  
pp. 217-227 ◽  
Author(s):  
Hubert J. Morel-Seytoux
Keyword(s):  
Oil Recovery ◽  
Numerical Solutions ◽  
Mobility Ratio ◽  
Finite Difference Approximation ◽  
Difference Approximation ◽  
Numerical Techniques ◽  
Sweep Efficiency ◽  
Closed Form Solutions ◽  
Regular Patterns ◽  
Quantities Of Interest

Abstract The influence of pattern geometry on assisted oil recovery for a particular displacement mechanism is the object of investigation in this paper. The displacement is assumed to be of unit mobility ratio and piston-like. Fluids are assumed incompressible and gravity and capillary effects are neglected. With these assumptions it is possible to calculate by analytical methods the quantities of interest to the reservoir engineer for a great variety of patterns. Specifically, this paper presentsvery briefly, the methods and mathematical derivations required to obtain the results of engineering concern, andtypical results in the form of graphs or formulae that can be used readily without prior study of the methods. Results of this work provide checks for solutions obtained from programmed numerical techniques. They also reveal the effect of pattern geometry and, even though the assumptions of piston-like displacement and of unit mobility ratio are restrictive, they can nevertheless be used for rather crude but quick, cheap estimates. These estimates can be refined to account for non-unit mobility ratio and two-phase flow by correlating analytical results in the case M=1 and the numerical results for non-Piston, non-unit mobility ratio displacements. In an earlier paper1 it was also shown that from the knowledge of closed form solutions for unit mobility ratio, quantities called "scale factors" could be readily calculated, increasing considerably the flexibility of the numerical techniques. Many new closed form solutions are given in this paper. INTRODUCTION BACKGROUND Pattern geometry is a major factor in making water-flood recovery predictions. For this reason many numerical schemes have been devised to predict oil recovery in either regular patterns or arbitrary configurations. The numerical solutions, based on the method of finite difference approximation, are subject to errors often difficult to evaluate. An estimate of the error is possible by comparison with exact solutions. To provide a variety of checks on numerical solutions, a thorough study of the unit mobility ratio displacement process was undertaken. To calculate quantities of interest to the reservoir engineer (oil recovery, sweep efficiency, etc.), it is necessary to first know the pressure distribution in the pattern. Then analytical procedures are used to calculate, in order of increasing difficulty: injectivity, breakthrough areal sweep efficiency, normalized oil recovery and water-oil ratio as a function of normalized PV injected. BACKGROUND Pattern geometry is a major factor in making water-flood recovery predictions. For this reason many numerical schemes have been devised to predict oil recovery in either regular patterns or arbitrary configurations. The numerical solutions, based on the method of finite difference approximation, are subject to errors often difficult to evaluate. An estimate of the error is possible by comparison with exact solutions. To provide a variety of checks on numerical solutions, a thorough study of the unit mobility ratio displacement process was undertaken. To calculate quantities of interest to the reservoir engineer (oil recovery, sweep efficiency, etc.), it is necessary to first know the pressure distribution in the pattern. Then analytical procedures are used to calculate, in order of increasing difficulty: injectivity, breakthrough areal sweep efficiency, normalized oil recovery and water-oil ratio as a function of normalized PV injected.

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