Design patterns: elements of reusable object-oriented software
Design patterns: elements of reusable object-oriented software
The object constraint language: precise modeling with UML
The object constraint language: precise modeling with UML
Generative programming: methods, tools, and applications
Generative programming: methods, tools, and applications
A relational model of data for large shared data banks
Communications of the ACM
Component Software: Beyond Object-Oriented Programming
Component Software: Beyond Object-Oriented Programming
The Designer's Guide to VHDL
A Theory of Objects
Learn Object Pascal with Delphi
Learn Object Pascal with Delphi
MetaEdit+: A Fully Configurable Multi-User and Multi-Tool CASE and CAME Environment
CAiSE ;96 Proceedings of the 8th International Conference on Advances Information System Engineering
From Object Composition to Model Transformation with the MDA
TOOLS '01 Proceedings of the 39th International Conference and Exhibition on Technology of Object-Oriented Languages and Systems (TOOLS39)
Numerical pricing of American put options on zero-coupon bonds
Applied Numerical Mathematics
XML Programming Bible
Software Factories: Assembling Applications with Patterns, Models, Frameworks, and Tools
Software Factories: Assembling Applications with Patterns, Models, Frameworks, and Tools
Proceedings of the ninth ACM SIGPLAN international conference on Functional programming
Unified Modeling Language User Guide, The (2nd Edition) (Addison-Wesley Object Technology Series)
Unified Modeling Language User Guide, The (2nd Edition) (Addison-Wesley Object Technology Series)
XML Schema
When and how to develop domain-specific languages
ACM Computing Surveys (CSUR)
Model-Driven Software Development: Technology, Engineering, Management
Model-Driven Software Development: Technology, Engineering, Management
XAML in a Nutshell (In a Nutshell (O'Reilly))
XAML in a Nutshell (In a Nutshell (O'Reilly))
Domain-Specific Modeling
POSAML: A visual modeling language for middleware provisioning
Journal of Visual Languages and Computing
A preliminary study on various implementation approaches of domain-specific language
Information and Software Technology
Paul Wilmott Introduces Quantitative Finance
Paul Wilmott Introduces Quantitative Finance
Flex 3 Bible
A computational scheme for uncertain volatility model in option pricing
Applied Numerical Mathematics
Worst Practices for Domain-Specific Modeling
IEEE Software
Taxonomies of visual programming and program visualization
Journal of Visual Languages and Computing
Domain specific model-based development of software for programmable logic controllers
Computers in Industry
Domain-specific software engineering
Proceedings of the FSE/SDP workshop on Future of software engineering research
Empirical Software Engineering
Model refactoring within a sequencer
BICA'12 Proceedings of the 5th WSEAS congress on Applied Computing conference, and Proceedings of the 1st international conference on Biologically Inspired Computation
HH-DSL: a domain specific language for selection hyper-heuristics
Proceedings of the 15th annual conference companion on Genetic and evolutionary computation
Computers & Mathematics with Applications
Hi-index | 22.14 |
We develop a novel numerical method to price American options on a discount bond under the Cox-Ingrosll-Ross (CIR) model which is governed by a partial differential complementarity problem. We first propose a penalty approach to this complementarity problem, resulting in a nonlinear partial differential equation (PDE). To numerically solve this nonlinear PDE, we develop a novel fitted finite volume method for the spatial discretization, coupled with a fully implicit time-stepping scheme. We show that this full discretization scheme is consistent, stable and monotone, and hence the convergence of the numerical solution to the viscosity solution of the continuous problem is guaranteed. To solve the discretized nonlinear system, we design an iterative method and prove that the method is convergent. Numerical results are presented to demonstrate the accuracy, efficiency and robustness of our methods.