Optimization method for a nonlinear degenerate parabolic problem in weighted Sobolev spaces

2021 ◽  
Vol 41 (1) ◽  
pp. 87
Author(s):  
Lhoucine Hmidouch ◽  
Ahmed Jamea ◽  
Mohammed Laghdir
Keyword(s):  
Sobolev Spaces ◽  
Parabolic Problem ◽  
Weighted Sobolev Spaces ◽  
Optimization Method ◽  
Degenerate Parabolic Problem ◽  
Degenerate Parabolic ◽  
Nonlinear Degenerate

Predictor-Corrector Balance Method for the Worst-Case 1D Option Pricing

2016 ◽  
Vol 16 (1) ◽  
pp. 175-186
Author(s):  
Radoslav Valkov
Keyword(s):  
Parabolic Problem ◽  
Numerical Approach ◽  
Option Value ◽  
Worst Case ◽  
Time Stepping ◽  
Degenerate Parabolic Problem ◽  
Black Scholes ◽  
Degenerate Parabolic ◽  
Predictor Corrector ◽  
Nonlinear Degenerate

AbstractThe paper presents a numerical approach for computation of the first spatial Greek, the Delta, of the option value, governed by the Black–Scholes equation with uncertain volatility and dividend yield. This fully nonlinear degenerate parabolic problem is handled by a monotone finite volume spatial discretization and a second-order predictor-corrector time stepping. Ample numerical results illustrate the performance of the algorithm.

Elliptic-Parabolic Equation with Absorption of Obstacle type

2011 ◽  
Vol 11 (1) ◽  
Author(s):  
Noureddine Igbida ◽  
Fahd Karami
Keyword(s):  
Parabolic Equation ◽  
Existence And Uniqueness ◽  
Parabolic Problem ◽  
Uniqueness Of Solutions ◽  
Degenerate Parabolic Problem ◽  
Doubly Nonlinear ◽  
Degenerate Parabolic ◽  
Nonlinear Degenerate

AbstractThis paper is concerned with existence and uniqueness of solutions for a doubly nonlinear degenerate parabolic problem of the type β(w)

scholarly journals On a degenerate parabolic problem in Hölder spaces

2005 ◽  
Vol 162 (2) ◽  
pp. 811-833
Author(s):  
Tarik Berroug ◽  
Hua Ding ◽  
Rabah Labbas ◽  
Boubaker-Khaled Sadallah
Keyword(s):  
Parabolic Problem ◽  
Hölder Spaces ◽  
Degenerate Parabolic Problem ◽  
Degenerate Parabolic ◽  
Holder Spaces

scholarly journals On a nonlocal degenerate parabolic problem

2016 ◽  
Vol 27 ◽  
pp. 146-157 ◽  
Author(s):  
Rui M.P. Almeida ◽  
Stanislav N. Antontsev ◽  
José C.M. Duque
Keyword(s):  
Parabolic Problem ◽  
Degenerate Parabolic Problem ◽  
Degenerate Parabolic
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