A. SOHEILI
[ 1 ] - APPROXIMATION OF STOCHASTIC PARABOLIC DIFFERENTIAL EQUATIONS WITH TWO DIFFERENT FINITE DIFFERENCE SCHEMES
We focus on the use of two stable and accurate explicit finite difference schemes in order to approximate the solution of stochastic partial differential equations of It¨o type, in particular, parabolic equations. The main properties of these deterministic difference methods, i.e., convergence, consistency, and stability, are separately developed for the stochastic cases.
[ 2 ] - Numerical Solution of Fractional Black Scholes Equation Based on Radial Basis Functions Method
Options pricing have an important role in risk control and risk management. Pricing discussion requires modelling process, solving methods and implementing the model by real data in a given market. In this paper we show a model for underlying asset based on fractional stochastic models which is a particular type of behavior of stochastic assets changing. In addition a numerical method based on ...
نویسندگان همکار