In simulating compressible flows with contact discontinuities or material interfaces, numerical pressure and velocity oscillations can be induced by point-wise flux vector splitting (FVS) or component-wise nonlinear difference discretization of convection terms. The current analysis showed that the oscillations are due to the incompatibility of the point-wise splitting of eigenvalues in FVS and the inconsistency of component-wise nonlinear difference discretization among equations of mass, momentum, energy, and even fluid composition for multi-material flows. Two practical principles are proposed to prevent these oscillations: (i) convective fluxes must be split by a global FVS, such as the global Lax-Friedrichs FVS, and (ii) consistent discretization between different equations must be guaranteed. The latter, however, is not compatible with component-wise nonlinear difference discretization. Therefore, a consistent discretization method that uses only one set of common weights is proposed for nonlinear weighted essentially non-oscillatory (WENO) schemes. One possible procedure to determine the common weights is presented that provided good results. The analysis and methods stated above are appropriate for both single-(e.g., contact discontinuity) and multi-material (e.g., material interface) discontinuities. For the latter, however, the additional fluid composition equation should be split and discretized consistently for compatibility with the other equations. Numerical tests including several contact discontinuities and multi-material flows confirmed the effectiveness, robustness, and low computation cost of the proposed method.

SUMMARYIn this paper, sixth-order monotonicity-preserving optimized scheme (OMP6) for the numerical solution of conservation laws is developed on the basis of the dispersion and dissipation optimization and monotonicitypreserving technique. The nonlinear spectral analysis method is developed and is used for the purpose of minimizing the dispersion errors and controlling the dissipation errors. The new scheme (OMP6) is simple in expression and is easy for use in CFD codes. The suitability and accuracy of this new scheme have been tested through a set of one-dimensional, two-dimensional, and three-dimensional tests, including the one-dimensional Shu-Osher problem, the two-dimensional double Mach reflection, and the RayleighTaylor instability problem, and the three-dimensional direct numerical simulation of decaying compressible isotropic turbulence. All numerical tests show that the new scheme has robust shock capturing capability and high resolution for the small-scale waves due to fewer numerical dispersion and dissipation errors. Moreover, the new scheme has higher computational efficiency than the well-used WENO schemes. Copyright

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Accurately as well as efficiently calculating the early exercise boundary is the key to the highly nonlinear problem of pricing American options. Many analytical approximations have been proposed in the past, aiming at improving the computational efficiency and the easiness of using the formula, while maintaining a reasonable numerical accuracy at the same time. In this paper, we shall present an approximation formula based on Bunch and Johnson's work [6]. After clearly pointing out some errors in Bunch and Johnson's paper [6], we will propose an improved approximation formula that can significantly enhance the computational accuracy, particularly for options of long lifetime.

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