Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of Europ...Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of European Stock options and establish the theoretical foundation for Option pricing. Therefore, this paper evaluates the Black-Schole model in simulating the European call in a cash flow in the dependent drift and focuses on obtaining analytic and then approximate solution for the model. The work also examines Fokker Planck Equation (FPE) and extracts the link between FPE and B-SM for non equilibrium systems. The B-SM is then solved via the Elzaki transform method (ETM). The computational procedures were obtained using MAPLE 18 with the solution provided in the form of convergent series.展开更多
对白噪声驱动随机系统的Fokker-Planck方程进行约化,求得约化方程的解析解,使用局部解析解和 Monte Carlo结合方法求解常系数Fokker-Planck方程,并与常系数Eokker-Planck方程的精确解进行对比, 之后求解了变驱动力系统的行为．数值模拟...对白噪声驱动随机系统的Fokker-Planck方程进行约化,求得约化方程的解析解,使用局部解析解和 Monte Carlo结合方法求解常系数Fokker-Planck方程,并与常系数Eokker-Planck方程的精确解进行对比, 之后求解了变驱动力系统的行为．数值模拟结果表明,有限解析／Monte Carlo结合的方法,能成功求解-维 Fokker-Planck方程,求解粒子数为105个,能获得十分光滑的PDF分布曲线,计算颗粒在300个时,就能获得较好的均值．其研究为两相湍流PDF模型新计算方法研究提供基础．展开更多
Deterministic simulation approach was applied to simulating viscoelastic complex flows,in which,the SIMPLE algorithm based on collocated grid was used to solve the conservation equations on the macroscopic level and t...Deterministic simulation approach was applied to simulating viscoelastic complex flows,in which,the SIMPLE algorithm based on collocated grid was used to solve the conservation equations on the macroscopic level and the spectral method was used to solve the Fokker-Planck equation on the mesoscopic level.Here,the transient 4∶1 planar contraction flow for dilute polymer solution was computed by using the coupled technique and the calculated polymeric stress distributions at steady state were identical with the results of continuum approach as well as the corresponding references.Therefore,the presented results indicated that the SIMPLE algorithm based on collocated grid coupled with the spectral method can be used to simulate viscoelastic complex flows effectively.Moreover,the influence of Deborah number and viscosity ratio on polymeric stress was also investigated.展开更多
文摘Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of European Stock options and establish the theoretical foundation for Option pricing. Therefore, this paper evaluates the Black-Schole model in simulating the European call in a cash flow in the dependent drift and focuses on obtaining analytic and then approximate solution for the model. The work also examines Fokker Planck Equation (FPE) and extracts the link between FPE and B-SM for non equilibrium systems. The B-SM is then solved via the Elzaki transform method (ETM). The computational procedures were obtained using MAPLE 18 with the solution provided in the form of convergent series.
文摘Deterministic simulation approach was applied to simulating viscoelastic complex flows,in which,the SIMPLE algorithm based on collocated grid was used to solve the conservation equations on the macroscopic level and the spectral method was used to solve the Fokker-Planck equation on the mesoscopic level.Here,the transient 4∶1 planar contraction flow for dilute polymer solution was computed by using the coupled technique and the calculated polymeric stress distributions at steady state were identical with the results of continuum approach as well as the corresponding references.Therefore,the presented results indicated that the SIMPLE algorithm based on collocated grid coupled with the spectral method can be used to simulate viscoelastic complex flows effectively.Moreover,the influence of Deborah number and viscosity ratio on polymeric stress was also investigated.
