In this paper we develop a numerical method for pricing American options under regime-
switching model, whose solutions are option buyer indifference prices. The problem is …

This paper investigates the nonlinear dispersion of a pollutant in a non-isothermal
incompressible flow of a temperature-dependent viscosity fluid in a rectangular channel …

We investigate the initial boundary value problem for the Gamma equation transformed from
the nonlinear Black-Scholes equation for pricing option to a quasilinear parabolic equation …

We consider a coupled system of parabolic equations that describes flow in fractured porous
media with anomalous diffusion. Using a half-integer grid, the second and third boundary …

We consider the difference maximum principle with input data of variable sign and its
application to the investigation of the monotonicity and convergence of finite-difference …

Keywords: Maximum principle, two-side estimates, monotone method, finite-difference
scheme, multidimensional quasilinear parabolic equation, convergence, weakly couple …

It is usually desirable to approximate the solution of mathematical problems with high-order
of accuracy and preferably using compact stencils. This work presents an approach for …

In some applications, nano-sized particles are used to enhance heat transfer in thermal
energy systems. Two important practical concerns are the shape of the nanoparticles and …

An unconditionally stable difference scheme is proposed for convectiondiffusion-reaction
equations (CDREs) with nonlinear coefficients and sources. A key requirement in addition to …

It is desirable that a numerical method is high-order accurate, compact, efficient and able to
simulate purely convection problems. Most existing high-order methods for convection …