Applied and Computational Mathematics

Archive

Volume 6, Issue 5, October 2017

  • Pricing European Put Option in a Geometric Brownian Motion Stochastic Volatility Model

    Kolawole Imole Oluwakemi, Mataramvura Sure, Ogunlade Temitope Olu

    Issue: Volume 6, Issue 5, October 2017
    Pages: 215-221
    Received: 9 June 2017
    Accepted: 26 June 2017
    Published: 7 September 2017
    DOI: 10.11648/j.acm.20170605.11
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    Abstract: Stochastic volatility models were introduced because option prices have been mis-priced using Black-Scholes model. In this work, focus is made on pricing European put option in a Geometric Brownian Motion (GBM) stochastic volatility model with uncorrelated stock and volatility. The option is priced using two numerical methods (Crank-Nicolson and Al... Show More
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  • A New Entropic Riemann Solver of Conservation Law of Mixed Type Including Ziti’s δ-Method with some Experimental Tests

    Larbi Bsiss, Cherif Ziti

    Issue: Volume 6, Issue 5, October 2017
    Pages: 222-232
    Received: 30 June 2017
    Accepted: 11 July 2017
    Published: 26 September 2017
    DOI: 10.11648/j.acm.20170605.12
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    Abstract: Many problems in fluid mechanics and material sciences deal with liquid-vapour flows. In these flows, the ideal gas assumption is not accurate and the van der Waals equation of state is usually used. This equation of state is non-convex and causes the solution domain to have two hyperbolic regions separated by an elliptic region. Therefore, the gov... Show More
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  • Lacunary Statistical Convergence in Fuzzy Normed Linear Spaces

    Muhammed Recai Turkmen, Muhammed Cinar

    Issue: Volume 6, Issue 5, October 2017
    Pages: 233-237
    Received: 19 July 2017
    Accepted: 17 August 2017
    Published: 23 October 2017
    DOI: 10.11648/j.acm.20170605.13
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    Abstract: In this paper, it is introduced the concept of lacunary statistical convergence with respect to a fuzzy norm by using lacunary statistical convergence of a sequence and statistical convergent of a sequence with respect to fuzzy norm. It also has studied the relation between these concepts.
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