The partial averaging method

Path Dependent Option Pricing: the path integral partial averaging method

In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the underlying risk-neutral diffusion process. This result greatly eases the computational burden placed on the subsequent numerical evaluation. For short-medium t...

On Averaging Methods for Partial Diierential Equations

Prediction from Partial Data, Renormalization, and Averaging

We summarize and compare our recent methods for reducing the complexity of computational problems, in particular dimensional reduction methods based on the Mori–Zwanzig formalism of statistical physics, block Monte-Carlo methods, and an averaging method for deriving an effective equation for a nonlinear wave propagation problem. We show that their common thread is scale change and renormalization.

On Whitham ’ s Averaging Method

Introduction. Whitham's averaged equations [1] for a nonlinear evolution system describe slow modulations of parameters on a family of periodic traveling wave solutions (or on families of multiphase quasiperiodic solutions, which are so far knows to exist only for integrable equations) and are a system of hydrodynamic type [2, 3], that is, of the form

Clinical significance of partial volume averaging of the temporal bone.

The effects of partial volume averaging on computed tomographic images of temporal bone structures were evaluated. The models chosen for study included a cadaver stapes, two metallic prosthetic stapes, and a formalin-fixed temporal bone. The studies measured the changes in apparent dimension and Hounsfield units with incremental filling of voxels with metallic densities, changes in the angle of...