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A Fast Numerical Method for the Black-Scholes Equation of American Options
  • H. Han, X. Wu
  • Computer Science, Mathematics
  • SIAM J. Numer. Anal.
  • 1 June 2003
TLDR
This paper introduces a fast numerical method for computing American option pricing problems governed by the Black--Scholes equation. Expand
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A New Mixed Finite Element Formulation and the MAC Method for the Stokes Equations
A new mixed finite element method is formulated for the Stokes equations, in which the two components of the velocity and the pressure are defined on different meshes. First-order error estimates areExpand
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The boundary integro-differential equations of three-dimensional Neumann problem in linear elasticity
Summary. In this paper, we mainly consider the three dimensional Neumann problem in linear elasticity, which is reduced to a system of integro-differential equations on the boundary based on a newExpand
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A Finite-Element Method for Laplace- and Helmholtz-Type Boundary Value Problems with Singularities
Laplace- and Helmholtz-type boundary value problems with singularities are considered. A sequence of approximations to the exact boundary conditions at an artificial boundary is given. Then theExpand
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An energy regularization for Cauchy problems of Laplace equation in annulus domain
Detecting corrosion by electrical field can be modeled by a Cauchy problem of Laplace equation in annulus domain under the assumption that the thickness of the pipe is relatively small compared withExpand
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A class of artificial boundary conditions for heat equation in unbounded domains
Abstract In this paper, the numerical solutions of three problems of heat equation on unbounded domains are considered. For each problem, we introduce an artificial boundary Γ to make theExpand
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The Boundary Element Method for the Solution of the Backward Heat Conduction Equation
In this paper we consider the numerical solution of the one-dimensional, unsteady heat conduction equation in which Dirichlet boundary conditions are specified at two space locations and theExpand
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Stability and Regularization of a Discrete Approximation to the Cauchy Problem for Laplace's Equation
The standard five-point difference approximation to the Cauchy problem for Laplace's equation satisfies stability estimates---and hence turns out to be a well-posed problem---when a certainExpand
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  • 2
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Error Estimates for the Finite Element Approximation of Problems in Unbounded Domains
  • H. Han, W. Bao
  • Mathematics, Computer Science
  • SIAM J. Numer. Anal.
  • 1 March 2000
TLDR
In this paper we present error estimates for the finite element approximation of linear elliptic problems in unbounded domains that are outside an obstacle and a semi-infinite strip in the plane. Expand
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Tailored finite point method for steady-state reaction-diffusion equations
Abstract. In this paper, we propose to use the tailored-finite-point method (TFPM) for a type of steady-state reaction-diffusion problems in two dimensions. Three tailored finite point schemes areExpand
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