Method of Lines Approach for Pricing American Spread Options

2011 ◽  
Author(s):  
Carl Chiarella ◽  
Jonathan Ziveyi
Keyword(s):  
Method Of Lines ◽  
Spread Options

SOLUTION OF THE RICHARDS EQUATION IN A SOIL PROFILE WITH TWO LAYERS USING THE METHOD OF LINES

2020 ◽  
Author(s):  
Diego Sousa Lopes ◽  
Augusto Cezar Cordeiro Jardim ◽  
Diego Estumano ◽  
Emanuel Macêdo ◽  
João Quaresma
Keyword(s):  
Soil Profile ◽  
Method Of Lines ◽  
Richards Equation ◽  
The Method Of Lines

Numerical Simulation of Leakage Current on Conductive Insulator Surface

2019 ◽  
Vol 8 (4) ◽  
pp. 9487-9492
Keyword(s):  
Numerical Simulation ◽  
Electric Field ◽  
Leakage Current ◽  
Method Of Lines ◽  
Electron Attachment ◽  
Negative Ions ◽  
Conduction Current ◽  
Insulator Surface ◽  
Finite Difference Approximations ◽  
Positive Ions

The outdoor insulator is commonly exposed to environmental pollution. The presence of water like raindrops and dew on the contaminant surface can lead to surface degradation due to leakage current. However, the physical process of this phenomenon is not well understood. Hence, in this study we develop a mathematical model of leakage current on the outdoor insulator surface using the Nernst Planck theory which accounts for the charge transport between the electrodes (negative and positive electrode) and charge generation mechanism. Meanwhile the electric field obeys Poisson’s equation. Method of Lines technique is used to solve the model numerically in which it converts the PDE into a system of ODEs by Finite Difference Approximations. The numerical simulation compares reasonably well with the experimental conduction current. The findings from the simulation shows that the conduction current is affected by the electric field distribution and charge concentration. The rise of the conduction current is due to the distribution of positive ion while the dominancy of electron attachment with neutral molecule and recombination with positive ions has caused a significant reduction of electron and increment of negative ions.

Pricing of spread options on stochastically correlated underlyings

2009 ◽  
Vol 12 (3) ◽  
pp. 31-61 ◽  
Author(s):  
Marcos Escobar ◽  
Barbara Götz ◽  
Luis Seco ◽  
Rudi Zagst
Keyword(s):  
Spread Options
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