2 papers
math.NA2017
A Comparison Study of Two High Accuracy Numerical Methods for a Parabolic System in Air Pollution Modelling
Ivan Dimov, Juri Kandilarov, Venelin Todorov +1
We present two approaches for enhancing the accuracy of second order finite difference approximations of two-dimensional semilinear parabolic systems. These are the fourth order co…
q-fin.CP2011
Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option
J. D. Kandilarov, D. Sevcovic
We present a numerical approach for solving the free boundary problem for the Black-Scholes equation for pricing American style of floating strike Asian options. A fixed domain tra…