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  • Search: subject:"Fractional step"
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Year of publication
Subject
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Fractional step 2 exchange option 2 fractional step method 2 mixed derivatives 2 partial differential equation 2 radial basis functions 2 Analysis 1 Condensation 1 Derivat 1 Derivative 1 High Reynolds numbers 1 Lattice Boltzmann method 1 Mathematical analysis 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Transonic flow 1 Two-phase flow 1
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Online availability
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Free 2 Undetermined 2 CC license 1
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Article 4
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2 Undetermined 2
Author
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Kagraoka, Yusho 2 Benkhaldoun, Fayssal 1 Cai, Q.D. 1 Chew, Y.T. 1 Fořt, Jaroslav 1 Halama, Jan 1 Niu, X.D. 1 Shu, C. 1
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Published in...
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Mathematics and Computers in Simulation (MATCOM) 2 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1
Source
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RePEc 2 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 4 of 4
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The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes
Kagraoka, Yusho - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-13
. This study applies the fractional step method and the radial basis functions to solve a PDE with a mixed derivative, and … the numerical experiments, this study concludes that the fractional step method is more appropriate than the radial basis … results show that the both methods calculate premiums with high accuracy in the presence of mixed derivatives. The fractional …
Persistent link: https://www.econbiz.de/10013200324
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The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes
Kagraoka, Yusho - In: International Journal of Financial Studies : open … 8 (2020) 4/77, pp. 1-13
. This study applies the fractional step method and the radial basis functions to solve a PDE with a mixed derivative, and … the numerical experiments, this study concludes that the fractional step method is more appropriate than the radial basis … results show that the both methods calculate premiums with high accuracy in the presence of mixed derivatives. The fractional …
Persistent link: https://www.econbiz.de/10012372986
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Numerical modeling of two-phase transonic flow
Halama, Jan; Benkhaldoun, Fayssal; Fořt, Jaroslav - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 8, pp. 1624-1635
method is based on a fractional step technique due to the stiff character of source terms, i.e. we solve separately the set …
Persistent link: https://www.econbiz.de/10011050186
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A fractional step lattice Boltzmann method for simulating high Reynolds number flows
Shu, C.; Niu, X.D.; Chew, Y.T.; Cai, Q.D. - In: Mathematics and Computers in Simulation (MATCOM) 72 (2006) 2, pp. 201-205
A fractional step lattice Boltzmann scheme is presented to greatly improve the stability of the lattice Boltzmann … conventional LBM and the fractional step technique. Through the fractional step, the flow at an extreme case of infinite Reynolds …
Persistent link: https://www.econbiz.de/10010749722
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