Browsing by Author "Patidar, K.C"

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    A robust numerical solution to a time-fractional Black–Scholes equation
    (Springer Nature, 2021) Nuugulu, S.M; Gideon, F; Patidar, K.C
    Dividend paying European stock options are modeled using a time-fractional Black–Scholes (tfBS) partial differential equation (PDE). The underlying fractional stochastic dynamics explored in this work are appropriate for capturing market fluctuations in which random fractional white noise has the potential to accurately estimate European put option premiums while providing a good numerical convergence. The aim of this paper is two fold: firstly, to construct a time-fractional (tfBS) PDE for pricing European options on continuous dividend paying stocks, and, secondly, to propose an implicit finite difference method for solving the constructed tfBS PDE. Through rigorous mathematical analysis it is established that the implicit finite difference scheme is unconditionally stable. To support these theoretical observations, two numerical examples are presented under the proposed fractional framework. Results indicate that the tfBS and its proposed numerical method are very effective mathematical tools for pricing European options.
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    An unconditionally stable nonstandard finite difference method to solve a mathematical model describing Visceral Leishmaniasis
    (Elsevier, 2021) Adamu, E.M; Patidar, K.C; Ramanantoanina, A
    In this paper, a mathematical model of Visceral Leishmaniasis is considered. The model incorporates three populations, the human, the reservoir and the vector host populations. A detailed analysis of the model is presented. This analysis reveals that the model undergoes a backward bifurcation when the associated reproduction threshold is less than unity. For the case where the death rate due to VL is negligible, the disease-free equilibrium of the model is shown to be globally-asymptotically stable if the reproduction number is less than unity. Noticing that the governing model is a system of highly nonlinear differential equations, its analytical solution is hard to obtain. To this end, a special class of numerical methods, known as the nonstandard finite difference (NSFD) method is introduced. Then a rigorous theoretical analysis of the proposed numerical method is carried out. We showed that this method is unconditionally stable. The results obtained by NSFD are compared with other well-known standard numerical methods such as forward Euler method and the fourth-order Runge–Kutta method. Furthermore, the NSFD preserves the positivity of the solutions and is more efficient than the standard numerical methods.