An explicit series approximation to the optimal exercise boundary of American put options

This paper derives an explicit series approximation solution for the optimal exercise boundary of an American put option by means of a new analytical method for strongly nonlinear problems, namely the homotopy analysis method (HAM). The Black–Sholes equation subject to the moving boundary conditions for an American put option is transferred into an infinite number of linear sub-problems in a fixed domain through the deformation equations. Different from perturbation/asymptotic approximations, the HAM approximation can be applicable for options with much longer expiry. Accuracy tests are made in comparison with numerical solutions. It is found that the current approximation is as accurate as many numerical methods. Considering its explicit form of expression, it can bring great convenience to the market practitioners.     

The successive approximations method for the airfoil equation

The successive approximations (or Neumann iterations) method for the solution of Fredholm integral equations of the second kind is applied here for the first time, after an appropriate modification, to a Cauchy-type singular integral equation of the first kind, the airfoil equation. The convergence of the method is investigated and three simple applications are made. The numerical implementation of the method (by using Gaussian quadrature rules) is also described in detail and numerical results verifying the accuracy and convergence of the method are displayed.     

Numerical treatment of classic scattering from bounded objects

Classic scattering from objects of arbitrary shape must generally be treated by numerical methods. It has proven very difficult to describe scattering from general bounded objects without resorting to frequency-limiting approximations. The starting point of many numerical methods is the Helmholtz integral representation of a given wavefield. From that point several departures are possible for constructing computationally feasible approximate schemes. To date, attempts at direct solutions have been rare.One method (originated by P. Waterman) that attacks the exact numerical solution for a very broad class of problems begins with the Helmholtz integral representations for a point exterior and interior to the target in a partial wave expansion. After truncating the partial wave space, one arrives at a set of matrix equations useful in describing the field. This method is often referred to as the T-matrix method, null-field, or extended integral equation method. It leads to a unique solution of the exterior boundary integral equation by incorporating the interior solution (extinction theorem) as a constraint. In principle, there are no theoretical limitations on frequency, although numerical complications can arise and must be appropriately dealt with for the method to be computationally reliable.For submerged objects the formalism will be outlined for acoustical scattering from targets that are rigid; sound-soft and penetrable; elastic solids; elastic shells; and layered elastic objects. Finally, illustrations of several numerical examples for the above will be presented to emphasize specific response features peculiar to a variety of targets.     

Nonlocal Boundary Conditions for Higher–Order Parabolic Equations

This work deals with the efficient numerical solution of the two–dimensional one–way Helmholtz equation posed on an unbounded domain. In this case one has to introduce artificial boundary conditions to confine the computational domain. Here we construct with the Z –transformation so–called discrete transparent boundary conditions for higher–order parabolic equations schemes. These methods are Padé “Parabolic” approximations of the one–way Helmholtz equation and frequently used in integrated optics and (underwater) acoustics. (© 2006 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Analysis of the convected Helmholtz equation with a uniform mean flow in a waveguide with complete radiation boundary conditions

In this paper, we propose complete radiation boundary conditions (CRBCs) for solutions of the convected Helmholtz equation with a uniform mean flow in a waveguide. We first study CRBCs for the Helmholtz equation in a waveguide. Noting that the convected Helmholtz equation is associated with the Helmholtz equation via the Prandtl–Glauert transformation, CRBCs for the convected Helmholtz equation is derived from CRBCs for the Helmholtz equation. We analyse well-posedness and convergence of approximate solutions satisfying CRBCs for the convected Helmholtz equation. In addition, simple numerical experiments will be presented to confirm the theoretical results.     

A new approach to reduction of the Neumann problem in acoustic scattering to a non-hypersingular integral equation

The Neumann problem for the propagative Helmholtz equation inthe exterior of several bodies (obstacles) is studied in twoand three dimensions by a special modification of the boundaryintegral equation method. This modification can be called the'method of interior boundaries', because additional boundariesare introduced inside scattering bodies. The solution of theproblem is obtained in the form of a single layer potentialon the whole boundary. The density in the potential satisfiesthe uniquely solvable Fredholm equation of the second kind andcan be computed by standard codes. In fact our method holdsfor any positive wave numbers.     

On the numerical solution of Korteweg-de Vries equation by the iterative splitting method

In this paper, we apply the method of iterative operator splitting on the Korteweg-de Vries (KdV) equation. The method is based on first, splitting the complex problem into simpler sub-problems. Then each sub-equation is combined with iterative schemes and solved with suitable integrators. Von Neumann analysis is performed to achieve stability criteria for the proposed method applied to the KdV equation. The numerical results obtained by iterative splitting method for various initial conditions are compared with the exact solutions. It is seen that they are in a good agreement with each other.     

Polynomial particular solutions for certain partial differential operators

In this article, we consider a variant of the Dual Reciprocity Method (DRM) for solving boundary value problems based on approximating source terms by polynomials other than the traditional basis functions. The use of pseudo‐spectral approximations and symbolic methods enables us to obtain highly accurate results without solving the often ill‐conditioned equations that occur when radial basis function approximations are used. When the given partial differential equation is either Poisson's equation or an inhomogeneous Helmholtz‐type equation, we are able to obtain either closed form particular solutions or efficient recursive algorithms. Using the particular solutions, we convert the inhomogeneous equations to homogeneous. The resulting homogeneous equations are then amenable to solution by boundary‐type methods such as the Boundary Element Method (BEM) or the Method of Fundamental Solutions (MFS). Using the MFS, we provide numerical solutions to a variety of boundary value problems in R² and R³ . Using this approach, we can achieve high accuracy with a modest number of interpolation and collocation points. © 2002 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 19: 112–133, 2003     

On Vector Helmholtz Equation with a Coupling Boundary Condition

The Helmholtz equation is sometimes supplemented by conditions that include the specification of the boundary value of the divergence of the unknown.In this paper, we study the vector Helmholtz problem in domains of both C~(1,1)and Lipschitz.We es- tablish a rigorous variational analysis such as equivalence,existence and uniqueness. And we propose finite element approximations based on the uncoupled solutions.Fi- nally we present a convergence analysis and error estimates.     

一个扩散问题的自然边界元法与有限元法组合

本文讨论由Helmholtz方程描述的扩散问题的自然边界元法与有限元法的组合．取一个圆作为公共边界，用Fourier展开建立边界积分方程，将无界区域上的问题化为有界区域上的非局部边值问题．在变分方程中公共边界上的未知量只包含函数本身而不包含其法向导数，从而减少了未知数的数目，并且边界元剐度矩阵只有极少量不同的元素，有利于数值计算．这种组台方法优越于建立在直接边界元法基础上的组合方法．文中证明了变分解的唯一性，数值解的收敛性和误差估计．最后讨论了数值技术并给出一个算倒．     

A sixth-order dual preserving algorithm for the Camassa-Holm equation

The paper presents a sixth-order numerical algorithm for studying the completely integrable Camassa-Holm (CH) equation. The proposed sixth-order accurate method preserves both the dispersion relation and the Hamiltonians of the CH equation. The CH equation in this study is written as an evolution equation, involving only the first-order spatial derivatives, coupled with the Helmholtz equation. We propose a two-step method that first solves the evolution equation by a sixth-order symplectic Runge-Kutta method and then solves the Helmholtz equation using a three-point sixth-order compact scheme. The first-order derivative terms in the first step are approximated by a sixth-order dispersion-relation-preserving scheme that preserves the physically inherent dispersive nature. The compact Helmholtz solver, on the other hand, allows us to use relatively few nodal points in a stencil, while achieving a higher-order accuracy. The sixth-order symplectic Runge-Kutta time integrator is preferable for an equation that possesses a Hamiltonian structure. We illustrate the ability of the proposed scheme by examining examples involving peakon or peakon-like solutions. We compare the computed solutions with exact solutions or asymptotic predictions. We also demonstrate the ability of the symplectic time integrator to preserve the Hamiltonians. Finally, via a smooth travelling wave problem, we compare the accuracy, elapsed computing time, and rate of convergence among the proposed method, a second-order two-step algorithm, and a completely integrable particle method.     

The Neumann problem for the Helmholtz equation in a starlike planar domain

The interior and exterior Neumann problems for the Helmholtz equation in starlike planar domains are addressed by using a suitable Fourier-like technique. Attention is in particular focused on normal-polar domains whose boundaries are defined by the so called “superformula” introduced by Gielis. A dedicated numerical procedure based on a computer algebra system is developed in order to validate the proposed approach. In this way, highly accurate approximations of the solution, featuring properties similar to classical ones, are obtained. Computed results are found to be in good agreement with theoretical findings on Fourier series expansion presented by Carleson.     

Comparison between the shifted-Laplacian preconditioning and the controllability methods for computational acoustics

Processes that can be modelled with numerical calculations of acoustic pressure fields include medical and industrial ultrasound, echo sounding, and environmental noise. We present two methods for making these calculations based on Helmholtz equation. The first method is based directly on the complex-valued Helmholtz equation and an algebraic multigrid approximation of the discretized shifted-Laplacian operator; i.e. the damped Helmholtz operator as a preconditioner. The second approach returns to a transient wave equation, and finds the time-periodic solution using a controllability technique. We concentrate on acoustic problems, but our methods can be used for other types of Helmholtz problems as well. Numerical experiments show that the control method takes more CPU time, whereas the shifted-Laplacian method has larger memory requirement.     

A meshfree numerical method for acoustic wave propagation problems in planar domains with corners and cracks

The numerical solution of acoustic wave propagation problems in planar domains with corners and cracks is considered. Since the exact solution of such problems is singular in the neighborhood of the geometric singularities the standard meshfree methods, based on global interpolation by analytic functions, show low accuracy. In order to circumvent this issue, a meshfree modification of the method of fundamental solutions is developed, where the approximation basis is enriched by an extra span of corner adapted non-smooth shape functions. The high accuracy of the new method is illustrated by solving several boundary value problems for the Helmholtz equation, modelling physical phenomena from the fields of room acoustics and acoustic resonance.     

On the numerical solution of a complete two-dimensional hypersingular integral equation by the method of discrete singularities

We study the solvability of a complete two-dimensional linear integral equation with a hypersingular integral understood in the sense of the Hadamard principal value. We justify the convergence of a quadrature-type numerical method for the case in which the equation in question is uniquely solvable. We present an application of the results to the numerical solution of the Neumann boundary value problem on a plane screen for the Helmholtz equation by the surface potential method.     

INITIAL VALUE TECHNIQUES FOR THE HELMHOLTZ AND MAXWELL EQUATIONS

We study the initial value problem of the Helmholtz equation with spatially variable wave number. We show that it can be stabilized by suppressing the evanescent waves. The stabilized Helmholtz equation can be solved numerically by a marching scheme combined with FFT. The resulting algorithm has complexity n^2 log n on a n x n grid. We demonstrate the efficacy of the method by numerical examples with caustics. For the Maxwell equation the same treatment is possible after reducing it to a second order system. We show how the method can be used for inverse problems arising in acoustic tomography and microwave imaging.     

A nonconforming domain decomposition approximation for the Helmholtz screen problem with hypersingular operator

We present and analyze a nonconforming domain decomposition approximation for a hypersingular operator governed by the Helmholtz equation in three dimensions. This operator appears when considering the corresponding Neumann problem in unbounded domains exterior to open surfaces. We consider small wave numbers and low‐order approximations with Nitsche coupling across interfaces. Under appropriate assumptions on mapping properties of the weakly singular and hypersingular operators with Helmholtz kernel, we prove that this method converges almost quasioptimally, that is, with optimal orders reduced by an arbitrarily small positive number. Numerical experiments confirm our error estimate. © 2016 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 33: 125–141, 2017     

Numerical solution of electromagnetic scattering from a large partly covered cavity

The paper focuses on the numerical study of electromagnetic scattering from two-dimensional (2D) large partly covered cavities, which is described by the Helmholtz equation with a nonlocal boundary condition on the aperture. The classical five-point finite difference method is applied for the discretization of the Helmholtz equation and a linear approximation is used for the nonlocal boundary condition. We prove the existence and uniqueness of the numerical solution when the medium in the cavity is y-direction layered or the number of the mesh points on the aperture is large enough. The fast algorithm proposed in Bao and Sun (2005) [2] for open cavity models is extended to solving the partly covered cavity problem with (vertically) layered media. A preconditioned Krylov subspace method is proposed to solve the partly covered cavity problem with a general medium, in which a layered medium model is used as a preconditioner of the general model. Numerical results for several types of partly covered cavities with different wave numbers are reported and compared with those by ILU-type preconditioning algorithms. Our numerical experiments show that the proposed preconditioning algorithm is more efficient for partly covered cavity problems, particularly with large wave numbers.     

A split-step finite difference method for nonparaxial nonlinear Schrödinger equation at critical dimension

The critical nonlinear Schrödinger equation (NLS) is the model equation for propagation of laser beam in bulk Kerr medium. One of the final stages in the derivation of NLS from the nonlinear Helmholtz equation (NLH) is to apply paraxial approximation. However, there is numerical evidence suggesting nonparaxiality prevents singularity formation in the solutions of NLS. Therefore, it is important to develop numerical methods for solving nonparaxial NLS. Split-step methods are widely used for finding numerical solutions of NLS equation. Nevertheless, these methods cannot be applied to nonparaxial NLS directly. In this study, we extend the applicability of split-step methods to nonparaxial NLS by using Padé approximant operators. In particular, split-step Crank-Nicolson (SSCN) method is used in conjunction with Padé approximants to provide examples of numerical solutions of nonparaxial NLS.     

A fast numerical method for a natural boundary integral equation for the Helmholtz equation

A Neumann boundary value problem of the Helmholtz equation in the exterior circular domain is reduced into an equivalent natural boundary integral equation. Using our trigonometric wavelets and the Galerkin method, the obtained stiffness matrix is symmetrical and circulant, which lead us to a fast numerical method based on fast Fourier transform. Furthermore, we do not need to compute the entries of the stiffness matrix. Especially, our method is also efficient when the wave number k in the Helmholtz equation is very large.