in this paper we consider the european continuous installment call option. then  its linear complementarity formulation is given. writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. finally finite element method is applied to price the european continuous installment call option.

In this manuscript we present a p-th degree immersed finite element method for solving boundary value problems with discontinuous coefficients. In this method, interface jump conditions are employed in the finite element basis functions, and the mesh does not have to be aligned with coefficient discontinuity. We show that under h refinement the immersed finite element solution converges to the ...

Adomian decomposition method has been used intensively to solve nonlinear boundary and initial value problems. It has been proved to be very efficient in generating series solutions of the problem under consideration under the assumption that such series solution exits. However, very little has been done to address the mathematical foundation of the method and its error analysis. In this articl...

We present new theorems characterizing robust Lyapunov functions and infinite horizon value functions in optimal control as unique viscosity solutions of partial differential equations. We use these results to further extend Zubov’s method for representing domains of attraction in terms of partial differential equation solutions.

In the present study, a spectral finite element method is developed for free and forced transverse vibration of Levy-type moderately thick rectangular orthotropic plates based on first-order shear deformation theory. Levy solution assumption was used to convert the two-dimensional problem into a one-dimensional problem. In the first step, the governing out-of-plane differential equations are tr...

stability of foundations near slopes is one of the important and complicated problems in geotechnical engineering, which has been investigated by various methods such as limit equilibrium, limit analysis, slip-line, finite element and discrete element. the complexity of this problem is resulted from the combination of two probable failures: foundation failure and overall slope failure. the curr...

In this paper, an upper bound approach is used to analyze the extrusion process of bimetallic rods through arbitrarily curved dies. Based on a spherical velocity field, internal, shearing and frictional power terms are calculated. The developed upper bound solution is used for calculating the extrusion force for two types of die shapes: a conical die as a linear die profile and a streamlined di...

The aim of this study is to investigatethe effective parameters on vibrations of circular cylindrical shells with fixed rotary speed andresting elastic foundation by means of analytical and finite element numerical simulation. First, the governing equations are derived using the theory of Donnell, considering the centrifugal forces,Coriolis acceleration, and the initial annular tension. Then, t...

We analyze the flux conservation property of the finite element method. It is shown that the finite element solution does approximate the flux locally in the optimal order, i.e., the same order as that of the nodal interpolation operator. We propose two methods, post-processing the finite element solutions locally. The new solutions, remaining as optimal-order solutions, are flux-conserving ele...

Finite element method is one of powerful numerical methods to solve PDE. Usually, if a finite element solution to a Poisson equation based on a triangulation of the underlying domain is not accurate enough, one will discard the solution and then refine the triangulation uniformly and compute a new finite element solution over the refined triangulation. It is wasteful to discard the original fin...