• 대한수학회보
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• 제48권2호
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• pp.413-426
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• 2011

Two types of new methods with variable time steps are proposed in order to valuate binary options efficiently. Type I changes adaptively the size of the time step at each time based on the magnitude of the local error, while Type II combines two uniform meshes. The new methods are hybrid finite difference methods, namely starting the computation with a fully implicit finite difference method for a few time steps for accuracy then performing a ${\theta}$-method during the rest of computation for efficiency. Numerical experiments for standard European vanilla, binary and American options show that both Type I and II variable time step methods are much more efficient than the fully implicit method or hybrid methods with uniform time steps.

• Nuclear Engineering and Technology
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• 제50권3호
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• pp.327-339
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• 2018

This article presents a new global-local hybrid coarse-mesh finite difference (HCMFD) method for efficient parallel calculation of pin-by-pin heterogeneous core analysis. In the HCMFD method, the one-node coarse-mesh finite difference (CMFD) scheme is combined with a nodal expansion method (NEM)-based two-node CMFD method in a nonlinear way. In the global-local HCMFD algorithm, the global problem is a coarse-mesh eigenvalue problem, whereas the local problems are fixed source problems with boundary conditions of incoming partial current, and they can be solved in parallel. The global problem is formulated by one-node CMFD, in which two correction factors on an interface are introduced to preserve both the surface-average flux and the net current. Meanwhile, for accurate and efficient pin-wise core analysis, the local problem is solved by the conventional NEM-based two-node CMFD method. We investigated the numerical characteristics of the HCMFD method for a few benchmark problems and compared them with the conventional two-node NEM-based CMFD algorithm. In this study, the HCMFD algorithm was also parallelized with the OpenMP parallel interface, and its numerical performances were evaluated for several benchmarks.

• Journal of Hydrospace Technology
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• 제2권2호
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• pp.57-67
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• 1996

The formulation for hybrid-QUICK scheme of convective transport terms in finite-volume calculation procedure is presented. Source terms are modified to apply the hybrid-QUICK scheme. Test calculations are performed for wall-driven cavity flow at Re=$10_2$, $10_3$, and $10_4$. These include the evaluation of boundary conditions approximated by third-order finite difference scheme. The stable and converged solutions are obtained without unsteady terms in the momentum equations. The results using hybrid-QUICK scheme show no difference with those using hybrid scheme at low Re ($=10_2$) and are better at higher Re ($10_3$, and $10_4$).

• 대한기계학회논문집B
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• 제29권8호
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• pp.903-910
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• 2005

Inverse radiation problems are solved for estimating the boundary conditions such as temperature distribution and wall emissivity in axisymmetric absorbing, emitting and scattering medium, given the measured incident radiative heat fluxes. Various regularization methods, such as hybrid genetic algorithm, conjugate-gradient method and finite-difference Newton method, were adopted to solve the inverse problem, while discussing their features in terms of estimation accuracy and computational efficiency. Additionally, we propose a new combined approach that adopts the hybrid genetic algorithm as an initial value selector and uses the finite-difference Newton method as an optimization procedure.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제23권1호
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• pp.19-30
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• 2019

In this paper, we develop an accurate explicit finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition. In general, the correlation term in multi-asset options is problematic in numerical treatments partially due to cross derivatives and numerical boundary conditions at the far field domain corners. In the proposed hybrid boundary condition, we use a linear boundary condition at the boundaries where at least one asset is zero. After updating the numerical solution by one time step, we reduce the computational domain so that we do not need boundary conditions. To demonstrate the accuracy and efficiency of the proposed algorithm, we calculate option prices and their Greeks for the two-asset European call and cash-or-nothing options. Computational results show that the proposed method is accurate and is very useful for nonlinear boundary conditions.

• Journal of applied mathematics & informatics
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• 제36권1_2호
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• pp.135-154
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• 2018

In this paper, an almost second order overlapping Schwarz method for singularly perturbed third order convection-diffusion type problem is constructed. The method splits the original domain into two overlapping subdomains. A hybrid difference scheme is proposed in which on the boundary layer region we use the combination of classical finite difference scheme and central finite difference scheme on a uniform mesh while on the non-layer region we use the midpoint difference scheme on a uniform mesh. It is shown that the numerical approximations which converge in the maximum norm to the exact solution. We proved that, when appropriate subdomains are used, the method produces convergence of second order. Furthermore, it is shown that, two iterations are sufficient to achieve the expected accuracy. Numerical examples are presented to support the theoretical results. The main advantages of this method used with the proposed scheme are it reduce iteration counts very much and easily identifies in which iteration the Schwarz iterate terminates.

• Structural Engineering and Mechanics
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• 제49권1호
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• pp.41-64
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• 2014

The main objective of this article is the exploitation of a stochastic hybrid mesh-free method based on stochastic generalized finite difference (SGFD), Newmark finite difference (NFD) methods and Monte Carlo simulation for thermoelastic wave propagation and coupled thermoelasticity analysis based on GN theory (without energy dissipation). A thick hollow cylinder with Gaussian uncertainty in mechanical properties is considered as an analyzed domain for the problem. The effects of uncertainty in mechanical properties with various coefficients of variations on thermo-elastic wave propagation are studied in details. Also, the time histories and distribution on thickness of cylinder of maximum, mean and variance values of temperature and radial displacement are studied for various coefficients of variations (COVs).

• Journal of applied mathematics & informatics
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• 제36권3_4호
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• pp.181-203
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• 2018

In this paper, we have constructed an overlapping Schwarz method for singularly perturbed second order convection-diffusion equations. The method splits the original domain into two overlapping subdomains. A hybrid difference scheme is proposed in which on the boundary layer region we use the central finite difference scheme on a uniform mesh while on the non-layer region we use the mid-point difference scheme on a uniform mesh. It is shown that the numerical approximations which converge in the maximum norm to the exact solution. When appropriate subdomains are used, the numerical approximations generated from the method are shown to be first order convergent. Furthermore it is shown that, two iterations are sufficient to achieve the expected accuracy. Numerical examples are presented to support the theoretical results. The main advantages of this method used with the proposed scheme is it reduces iteration counts very much and easily identifies in which iteration the Schwarz iterate terminates.

• Kyungpook Mathematical Journal
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• 제62권4호
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• pp.699-713
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• 2022

This paper proposes a hybrid successive over-relaxation iterative method for the numerical solution of a nonlinear diffusion in a one-dimensional porous medium. The considered mathematical model is discretized using a computational complexity reduction scheme called half-sweep finite differences. The local truncation error and the analysis of the stability of the scheme are discussed. The proposed iterative method, which uses explicit group technique and modified successive over-relaxation, is formulated systematically. This method improves the efficiency of obtaining the solution in terms of total iterations and program elapsed time. The accuracy of the proposed method, which is measured using the magnitude of absolute errors, is promising. Numerical convergence tests of the proposed method are also provided. Some numerical experiments are delivered using initial-boundary value problems to show the superiority of the proposed method against some existing numerical methods.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제25권3호
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• pp.93-106
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• 2021

In this paper, an efficient hybrid numerical method for solving two-asset option pricing problem is presented based on the Crank-Nicolson and the radial basis function methods. For this purpose, the two-asset Black-Scholes partial differential equation is considered. Also, the convergence of the proposed method are proved and implementation of the proposed hybrid method is specifically studied on Exchange and Call on maximum Rainbow options. In addition, this method is compared to the explicit finite difference method as the benchmark and the results show that the proposed method can achieve a noticeably higher accuracy than the benchmark method at a similar computational time. Furthermore, the stability of the proposed hybrid method is numerically proved by considering the effect of the time step size to the computational accuracy in solving these problems.