Ali Beiranvand
Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran
[ 1 ] - Valuation of installment option by penalty method
In this paper, installment options on the underlying asset which evolves according to Black-Scholes model and pays constant dividend to its owner will be considered. Applying arbitrage pricing theory, the non-homogeneous parabolic partial differential equation governing the value of installment option is derived. Then, penalty method is used to value the European continuous installment call opt...
[ 2 ] - Solving The Stefan Problem with Kinetics
We introduce and discuss the Homotopy perturbation method, the Adomian decomposition method and the variational iteration method for solving the stefan problem with kinetics. Then, we give an example of the stefan problem with kinetics and solve it by these methods.
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