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S. Kruse, M.

Mller
Pricing American call options un-
der the assumption of stochastic
dividends An application of the
Korn-Rogers model
Berichte des Fraunhofer ITWM, Nr. 158 (2009)
Fraunhofer-Institut fr Techno- und Wirtschaftsmathematik ITWM 2009
ISSN 1434-9973
Bericht 158 (2009)
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Prof. Dr. Dieter Prtzel-Wolters
Institutsleiter
Kaiserslautern, im Juni 2001
Pricing American Call Options under the
Assumption of Stochastic Dividends -
An Application of the Korn-Rogers-Model
Susanne Kruse

, Marlene M uller

Hochschule der Sparkassen-Finanzgruppe University of Applied Sciences Bonn, Ger-


many.

Fraunhofer Institute for Industrial and Financial Mathematics, Department of Finan-


cial Mathematics, Kaiserslautern, Germany.
This version April 15, 2009.
Abstract. In nancial mathematics stock prices are usually modelled directly as
a result of supply and demand and under the assumption that dividends are paid
continuously. In contrast economic theory gives us the dividend discount model
assuming that the stock price equals the present value of its future dividends.
These two models need not to contradict each other - in their paper Korn and
Rogers (2005) introduce a general dividend model preserving the stock price to
follow a stochastic process and to be equal to the sum of all its discounted divi-
dends. In this paper we specify the model of Korn and Rogers in a Black-Scholes
framework in order to derive a closed-form solution for the pricing of American
Call options under the assumption of a known next dividend followed by several
stochastic dividend payments during the options time to maturity.
Key words: option pricing, American options, dividends, dividend discount
model, Black-Scholes model
JEL Classication: G13
Mathematics Subject Classication (2000): 60G44, 60H30
1
Introduction
In nance stock prices are typically modeled directly and are assumed to follow a
geometric Brownian motion or more generally a semi-martingale without refer-
ring to the economic value of the payments obtained by possessing the stock. Even
more, sometimes the existence of dividend payments is simply ignored and, in par-
ticular, in option pricing the validity of certain key results depend in a crucial way
on the absence of dividends a prominent example is the price equality between
European and American calls on a non-dividend paying stock in the presence of a
non-negative interest rate. On the one hand, ignoring the dividend payments can
lead to serious pricing errors for derivatives. On the other hand, we could interpret
this as modeling the stock price evolution only as a result of supply and demand.
From an economic point of view, however, the price of a share of a company should
be equal to the present value of the future dividend payments. In general the two
modeling approaches need not to contradict each other. But there are situations,
where an explicit consideration of dividend payments is necessary, since otherwise
the price evolution of the share is not modeled in an adequate way. The typical sit-
uation is the time span between the announcement of the next dividend payment
and its actual payment date. Then the share price dynamics contains a certain
component which is deducted from the share price at the dividend payment time.
Thus, the dynamics of the share price has to dier from that during times of no
explicit dividend announcement.
The case of known dividends and the valuation of European options as well
as American call options has been widely discussed in the literature. Roll, Geske
and Whaley see [8], [9], [10], [15], [17] and [18] have solved the pricing problem
of an American call on a stock with one known dividend payment during its time
to maturity. Sterk [16] has veried the t of the Roll-Geske-Whaley formula to
American call prices. In mathematical nance Geske [7] was the rst to consider
uncertain dividends leading to a closed-form solution for European option prices in
an adjusted Black-Scholes framework. Following this introduction of an unknown
dividend Broadie et al. [3] as well as Chance et al. [4] examined the inuence of
stochastic dividend payments on the price of an European option. Besides there are
a number of publications that are concerned with dividends and the derivation of
a market opinion such as for example [5]. Professionals in nance, see for example
[1], [2], [6] or [12], still take great interest in the question which model reects
reality the best and oers consistent option pricing especially with American
options. Zhu [19] has tackled the problem of giving a closed-form solution for the
price of an American put option.
In order to include both approaches the following facts should be taken into
account when constructing a dividend model for stocks:
2
The stock price is the present value of all future dividend payments.
The actual value of the next dividend payment and the stock price are closely
related.
There is no clear relation between the height of interest rates and the div-
idend payments unless the fact that an investor expects the dividend yield
to be higher than the yield of a risk-less bond.
The closer one gets to the time of the dividend payment, randomness of the
dividend reduces.
Based on these facts Korn and Rogers [14] have chosen to model all dividends by
a stochastic process and thereby derive the price of a stock S(t) paying dividends
D(t
i
) at future times t
i
> t as
S(t) = E
_

i=1
e
r(tit)
D(t
i
)
_
. (1)
We note that this case also includes that the earlier dividend payments can be
known and therefore constant.
In this paper we use the basic idea of Korn and Rogers [14] in a Black-Scholes
framework which allows us to price American options on a dividend paying stock
in closed-form. The main contributions of our paper are the following:
(i) We transfer the model of Korn and Rogers into a Black-Scholes framework.
(ii) To illustrate the key idea of the proof we give closed-form solutions for just
one known respectively stochastic dividend during the options time to ma-
turity.
(iii) We derive a recursive algorithm for our valuation based on transferring back
the n-dimensional case to the (n 1)-dimensional case.
(iv) We achieve a closed-form solution to the pricing problem of American Call
options with several dividend payments during the time to maturity.
The remainder of the paper is structured as follows:
We use the dividend model in a lognormal framework, which is described in
detail in Section 1. To illustrate the idea, we discuss closed-form solutions to
American option pricing in Section 2 under the assumption that there is only
one dividend payment during the time to maturity of the corresponding option.
Furthermore, we distinguish between a stochastic and a known dividend payment.
In Section 3 we give closed-form solutions to the pricing of American Call options
3
under the assumption of several dividends, where we distinguish two situations:
(1) strictly stochastic dividends, and (2) one known dividend followed by stochastic
dividend payments. Of course it is possible to combine these results to one, but
for the sake of a better understanding of the situation we present these cases
seperately.
1 Stochastic Dividends in the Korn-Rogers
Model
From now on we assume that the stock pays its dividends at equidistant times
of which the rst l dividends D
1
, , D
l
with payment dates 0 < t
1
, t
1
+
h , t
1
+h(l 1) are known and therefore deterministic and the later dividends
D
l+1
, D
l+2
, with payment dates t
1
+hl, t
1
+h(l +1), are stochastic. In their
paper [14] Korn and Rogers assume that the stochastic dividends are of the form
D
l+1
= X(t
1
+hl), , D
n
= X(t
1
+h(n 1)) (2)
where X is an exponential Levy process scaled by some positive constant. Fur-
thermore they assume that holds
E
_
X(s)

F
t
_
= e
(ts)
X(t) (3)
for some < r and any 0 s t where r is the risk-free interest rate. Note that
the representation of the stock price as the sum of the present values of its future
dividend payments
S(t) = E
_

i=1
e
r(tit)
D
i
_
(4)
leads to the fact that we can write the stock price as
S(t) =
_

l
m=1
e
r(t1+(m1)ht)
D
m
+X(t)
e
(r)(t
1
+lht)
1e
(r)h
for t [0, t
1
)

l
m=k+1
e
r(t1+(m1)ht)
D
m
+X(t)
e
(r)(t
1
+lht)
1e
(r)h
for t [t
1
+h(k 1), t
1
+hk),
1 k < l
X(t)
e
(r)(t
1
+kht)
1e
(r)h
for t [t
1
+h(k 1), t
1
+hk),
l k
(5)
since by Equation (3) holds
E
_

i>l
e
r(t1+(i1)ht)
X(t
1
+ (i 1)h)

F
t
_
= X(t)
e
(r)(t1+lht)
1 e
(r)h
(6)
4
for some t < t
1
+hl as well as
E
_

i>k
e
r(t1+(i1)ht)
X(t
1
+ (i 1)h)

F
t
_
= X(t)
e
(r)(t1+kht)
1 e
(r)h
(7)
for t = t
1
+hk t
1
+hl.
So far we did not specify the dynamics of the dividend process. From now on
we assume that the dividend process X(t) follows a geometric Brownian motion
dX(t) = X(t)dt +X(t)dW(t), < r (8)
where r is the risk-free interest rate and the volatility of the dividend process X
and thereby of the stock price process S.
If we denote by S
0
todays market price of the stock, this is leading to the
following representation of the stock price for t [0, t
1
)
S(t) =
_
S
0

m=1
D
m
e
r(t1+h(m1))
_
e
(r
1
2

2
)t+W(t)
+
l

m=1
D
m
e
r(t1+h(m1)t)
(9)
while for t [t
1
+ h(k 1), t
1
+ hk) and 1 k < l the ex-dividend stock price
equals
S(t) =
_
S
0

m=1
D
m
e
r(t1+h(m1))
_
e
(r
1
2

2
)t+W(t)
+
l

m=k+1
D
m
e
r(t1+h(m1)t)
(10)
while for t [t
1
+h(k 1), t
1
+hk), l k holds
S(t) =
_
S
0

m=1
D
m
e
r(t1+h(m1))
_
e
(r)(kl)h
e
(r
1
2

2
)t+W(t)
. (11)
We note that this representation relies on the fact that announcement and payment
dates for the dividends coincide. It is possible to include a time dierence between
the announcement and the payment of dividends, which would lead to higher
dimensional distribution functions. Nevertheless due to the fact that the dividend
payment date is the important date at which we distinguish between exercising
and holding the option we neglect this dierence. Our representation contains the
case of strictly stochastic dividends (l = 0) as well as the case of n known dividends
(l = n) in some time interval [0, T] with 0 < t
1
< < t
n
= t
1
+ (n 1)h <
T < t
n+1
= t
1
+ nh. Furthermore it is consistent with the Black-Scholes formula
if we reduce todays stock price with regard to the total as well as proportional
dividend payments paid out before the expiry of the option:
5
Theorem 1.1 Consider an European call option with strike K and maturity T on
a dividend paying stock with market price S
0
and n dividend payments D
1
, D
n
during the time to maturity, of which the rst l payments at times t
1
, , t
1
+
h(l 1) are deterministic and the later dividends D
l+1
= X(t
1
+ hl), , D
n
=
X(t
1
+h(n 1)) follow a geometric Brownian motion. The price of this option is
given by

S
0
N(

d
1
) Ke
rT
N(

d
2
) (12)
where N() is the standard normal cumulative distribution function (cdf ),

d
1
=
ln
_

S0
K
_
+ (r +
1
2

2
)T

T
and

d
2
=

d
1

T (13)
as well as

S
0
=
_
S
0

m=1
D
m
e
r(t1+h(m1))
_
e
(r)(nl)h
. (14)
Proof: Using the representation of the stock price as in (11) we see that the stock
price at time to maturity T can written as
S(T) =
_
S
0

m=1
D
m
e
r(t1+h(m1))
_
e
(r)(nl)h
e
(r
1
2

2
)T+W(T)
. (15)
Hence the rest of the proof goes along the lines of the proof of the Black-Scholes
formula.
2 American Options in the One-Dividend Case
In order to show the basic idea of the proof for the higher dimensional problem
we rst consider the case of only one dividend during the time to maturity such
that 0 < t
1
< T < t
1
+h.
2.1 The Case of a Stochastic Dividend
In this subsection we focus on the case of American Call options in the presence
of completely stochastic dividends with only one dividend payment during the
options time to maturity:
Theorem 2.1 Assume that the stock pays an unknown dividend D
1
= X(t
1
) at
time t
1
. The price C
0,1
D
of an American Call with strike K and maturity T > t
1
is given by
C
0,1
D
(S
0
, 0, T, K) =S
0

0,1
1
(S
0
, 0) Ke
rT

0,1
2
(S
0
, 0) (16)
6
where

0,1
1
(S
0
, 0) = N(d
1
1
) +e
(r)h
N
_
d
1
2
, d
1
1
,
_
t
1
T
_
(17)

0,1
2
(S
0
, 0) = e
r(Tt1)
N(d
2
1
) +N
_
d
2
2
, d
2
1
,
_
t
1
T
_
(18)
with
d
1
1
=
ln
_
S0e
(r)h
S

_
+
_
r +
1
2

2
_
t
1

t
1
and d
2
1
= d
1
1

t
1
, (19)
d
1
2
=
ln
_
S0e
(r)h
K
_
+
_
r +
1
2

2
_
T

T
and d
2
2
= d
1
2

T. (20)
N() is the standard normal cdf, N(, , ) is the bivariate normal cdf with correla-
tion and S

is the unique stock price such that holds


C
Black Scholes
(S

, t
1
, T, K) = S

+D

K (21)
with
D

= S

1 e
(r)h
e
(r)h
. (22)
Proof: We note that the only time sensible for an early exercise of the American
call is the time t
1
of the dividend payment. Analogously to the Roll-Geske-Whaley
formula (as in [13], see also [9], [15] and [17]) we nd a critical stock price S

at time t
1
such that the call should be exercised for S(t
1
) > S

or should be hold
for S(t
1
) S

. S

is the stock price such that (21) holds. Hence we can write
todays option price as
E[e
rt1
C
0,0
D
(S(t
1
), t
1
, T, K) 1
{S(t1)S

}
|F
0
]
+E[e
rt1
(S(t
1
) +D(t
1
) K) 1
{S(t1)>S

}
|F
0
] (23)
where
C
0,0
D
(S(t
1
), t
1
, T, K) = S(t
1
)N(d
1
(t
1
)) Ke
r(Tt1)
N(d
2
(t
1
)) (24)
with
d
1
(t
1
) =
ln
_
S(t1)
K
_
+ (r +
1
2

2
)(T t
1
)

T t
1
(25)
d
2
(t
1
) = d
1
(t
1
)
_
T t
1
(26)
7
is the Black-Scholes price of an European option with no dividend payment during
the time interval (t
1
, T) and
D(t
1
) = S(t
1
)
1 e
(r)h
e
(r)h
(27)
is the dividend payment at time t
1
. If we split up the above expectation, we rst
get by using Equation (27)
E[e
rt1
(S(t
1
) +D(t
1
) K) 1
{S(t1)>S

}
|F
0
] = S
0
N(d
1
1
) Ke
rt1
N(d
2
1
) (28)
with
d
1
1
=
ln
_
S0e
(r)h
S

_
+
_
r +
1
2

2
_
t
1

t
1
and d
2
1
= d
1
1

t
1
. (29)
Secondly we derive that
E[e
rt1
C(S(t
1
), t
1
, T, K) 1
{S(t1)S

}
|F
0
] (30)
equals by plugging in the exact option price (24) at time t
1
e
(r)h
S
0
N
_
d
1
2
, d
1
1
,
_
t
1
T
_
Ke
rT
N
_
d
2
2
, d
2
1
,
_
t
1
T
_
(31)
with
d
1
1
=
ln
_
S0e
(r)h
S

_
+
_
r +
1
2

2
_
t
1

t
1
and d
2
1
= d
1
1

t
1
(32)
d
1
2
=
ln
_
S0e
(r)h
K
_
+
_
r +
1
2

2
_
T

T
and d
2
2
= d
1
2

T (33)
using Lemma A.4, Corollary A.5 and Corollary A.8 for n = 1 and taking into
account, that we can rewrite d
1
(t
1
) and d
2
(t
1
) as
d
1
(t
1
) =
ln
_
S(t1)
K
_
+ (r +
1
2

2
)(T t
1
)

T t
1
(34)
=
ln
_
S0e
(r)h
K
_
+ (r +
1
2

2
)T
2
t
1

T t
1
+
1

T t
1
W
t1
(35)
=
1
1
+
1
1
W
t1

t
1
(36)
d
2
(t
1
) =
ln
_
S(t1)
K
_
+ (r
1
2

2
)(T t
1
)

T t
1
(37)
=
ln
_
S0e
(r)h
K
_
+ (r
1
2

2
)T

T t
1
+
1

T t
1
W
t1
(38)
=
2
1
+
2
1
W
t1

t
1
. (39)

8
2.2 The Case of a Known Dividend
In this subsection we assume that there is one known constant dividend during
the options time to maturity. These assumptions are the same as for the Roll-
Geske-Whaley formula. In the following we show, that our approach is consistent
with this well-known result:
Theorem 2.2 Roll-Geske-Whaley Formula. Assume that the stock pays a
known dividend D
1
at time t
1
. The price C
1,0
D
of an American Call with strike K
and maturity T > t
1
is given by
C
1,0
D
(S
0
, 0, T, K)
=
_
S
0
D
1
e
rt1
_

1,0
1
(S
0
, 0) Ke
rT

1,0
2
(S
0
, 0) +D
1
e
rt1
N(d
2
1
) (40)
where
1,0
1
(S
0
, 0) and
1,0
2
(S
0
, 0) are given by

1,0
1
(S
0
, 0) = N(d
1
1
) +N
_
d
1
2
, d
1
1
,
_
t
1
T
_
(41)

1,0
2
(S
0
, 0) = e
r(Tt1)
N(d
2
1
) +N
_
d
2
2
, d
2
1
,
_
t
1
T
_
(42)
with
d
1
1
=
ln
_
S0D1e
rt
1
S

_
+
_
r +
1
2

2
_
t
1

t
1
and d
2
1
= d
1
1

t
1
, (43)
d
1
2
=
ln
_
S0D1e
rt
1
K
_
+
_
r +
1
2

2
_
T

T
and d
2
2
= d
1
2

T (44)
where S

is the unique stock price such that holds


C
Black Scholes
(S

, t
1
, T, K) = S

+D
1
K. (45)
Proof: The proof goes along the lines of the proof to the previous theorem taking
into account that under the assumption of a rst known dividend the stock price
at time t
1
is an ex-dividend stock price such that holds by Equation (11)
S(t
1
) =
_
S
0
D
1
e
rt1
_
e
(r
1
2

2
)t+W(t)
. (46)

3 American Options in the Multi-Dividend Case


We nally focus on American call options on a stock with n dividend payments,
such that we have dividend payments at t
1
, t
1
+h,...,t
1
+h(n1) until the options
maturity at time T.
9
3.1 The Case of n Stochastic Dividends
In the previous section we illustrated the structure of deriving a closed-form so-
lution under the assumption of a single dividend during the time to maturity. In
the case of n dividends this leads to the recursive calculation of n1 multivariate
normal distributions. We note that the number of steps in the calculation process
of the option price is of order O(n
4
). However, in practice, this remains com-
putationally feasible since the number of dividend payments up to maturity T is
usually quite small.
Theorem 3.1 The price of an American call option with strike K and maturity
T on a dividend paying stock with market price S
0
and n stochastic dividends at
times t
1
< t
1
+h < < t
1
+ (n 1)h < T during maturity is given by
C
0,n
D
(S
0
, 0, T, K) = S
0

0,n
1
(S
0
, 0) Ke
rT

0,n
2
(S
0
, 0) (47)
where

0,n
1
(S
0
, 0) = N(d
1
1
) +
n

i=1
e
(r)ih
N
i+1
_
d
1
i+1
; C
(i+1)
_
(48)

0,n
2
(S
0
, 0) = e
r(Tt1)
N(d
2
1
) +
n1

i=1
e
r(T(t1+ih))
N
i+1
_
d
2
i+1
; C
(i+1)
_
+N
n+1
_
d
2
n+1
; C
(n+1)
_
(49)
and where for i = 1, , n and a = 1, 2 we dene
d
a
i+1
= (d
a
i+1
, d
a
i
, , d
a
2
, d
a
1
) (50)
with
d
1
i
=
ln
_
S0e
(r)ih
S

i
_
+ (r +
1
2

2
)(t
1
+ (i 1)h)

_
t
1
+ (i 1)h
(51)
d
2
i
= d
1
i

_
t
1
+ (i 1)h (52)
as well as
d
1
n+1
=
ln
_
S0e
(r)nh
K
_
+ (r +
1
2

2
)T

T
(53)
d
2
n+1
= d
1
n+1

T (54)
and with S

1
, S

2
, , S

n
such that for i = 1, , n
C
0,ni
D
(S

i
, t
1
+ (i 1)h, T, K) = S

i
+D

i
K (55)
10
where D

i
is the unknown dividend paid at time t
1
+ (i 1)h which equals
D

i
= S

i
1 e
(r)h
e
(r)h
. (56)
Furthermore N() is the standard normal cdf and N
i+1
_
; C
(i+1)
_
is the (i+1)-
dimensional standard normal cdf with correlation matrix C
(i+1)
=
_
c
(i+1)
kj
_
, for
c
(i+1)
jk
=
_

_
c
(i)
jk

(ij+1)h

(ik+1)h+t1

t1+(ij+1)h

t1+(ik+1)h
for i = 2, . . . , n 1; j = 1, . . . , i
and k = j + 1, . . . , i

_
t1
t1+(ij+1)h
for i = 1, . . . , n 1; j = 1, . . . , i
and k = i + 1
c
(n)
1k

Tt1

(nk+1)h+t1

t1+(nk+1)h
for i = n; j = 1 and k = 2, . . . , n
c
(i)
jk

(nj+1)h

(nk+1)h+t1

t1+(nj+1)h

t1+(nk+1)h
for i = n; j = 2, . . . , n
and k = j + 1, . . . , n

_
t1
T
for i = n; j = 1 and k = n + 1

_
t1
t1+(nj+1)h
for i = n; j = 2, . . . , n and k = n + 1
(57)
with

C
(i+1)
=
_
c
(i+1)
kj
_
for i = 1, . . . , n 1 being the correlation matrices from the
calculation of the American call price in the case of n 1 dividends paid at times
t
1
+h < . . . < t
1
+ (n 1)h < T.
Proof: Obviously the only times sensible for an early exercise of the American call
are the times t
1
< t
1
+h < < t
1
+(n1)h of the dividend payments during the
options time to maturity. By Theorem 2.1 we know that above statement holds
for n = 1. Suppose that the above holds for n 1. Hence we know that the price
of the American option at time t
1
equals
C
0,n1
D
(S(t
1
), t
1
, T, K) = S(t
1
)
0,n1
1
(S(t
1
), t
1
) Ke
rT

0,n1
2
(S(t
1
), t
1
) (58)
with
0,n1
1
(S(t
1
), t
1
) and
0,n1
2
(S(t
1
), t
1
) as dened above for n 1 dividends
paid at times t
1
+ h < . . . < t
1
+ (n 1)h such that the multivariate standard
normal cdfs are calculated on behalf of the the corresponding correlation matrices

C
(i+1)
and at
d
a
i+1
(t
i
) = (d
a
i+1
(t
i
), d
a
i
(t
i
), , d
a
2
(t
i
), d
a
1
(t
i
)) (59)
11
for a = 1, 2 with
d
1
j
(t
i
) =
ln
_
S(t1)e
(r)jh
S

j+1
_
+ (r +
1
2

2
)jh

jh
(60)
d
2
j
(t
i
) = d
1
j
(t
i
)
_
jh (61)
for j = 1, . . . , n 1 as well as
d
1
n
(t
i
) =
ln
_
S(t1)e
(r)(n1)h
K
_
+ (r +
1
2

2
)(T t
1
)

T t
1
(62)
d
2
n
(t
i
) = d
1
n
(t
i
)
_
T t
1
. (63)
Furthermore we can nd critical stock prices S

2
, , S

n
such that for i = 2, , n
holds
C
0,ni
D
(S

i
, t
1
+ (i 1)h, T, K) = S

i
+D

i
K. (64)
Analogously to the argumentation in Theorem 2.1 we can now nd a critical
stock price S

1
at time t
1
such that the call should be exercised for S(t
1
) > S

1
or
should be hold for S(t
1
) S

1
. S

1
is the stock price such that holds
C
0,n1
D
(S

1
, t
1
, T, K) = S

1
+D

1
K (65)
where D

1
is the unknown dividend to be paid at time t
1
. Hence we can write the
option price at time t = 0 as
C
0,n
D
(S
0
, 0, T, K) = E
_
e
rt1

_
_
(S(t
1
) +D(t
1
) K) 1
{S(t1)>S

1
}
_

F
0
_
+E
_
e
rt1

_
C
0,n1
D
(S(t
1
), t
1
, T, K) 1
{S(t1)S

1
}
__

F
0
_
(66)
where C
0,n1
D
(S(t
1
), t
1
, T, K) is given by Equation (58) and
D(t
1
) = S(t
1
)
1 e
(r)h
e
(r)h
(67)
is the dividend payment at time t
1
. It is straightforward that the rst term in
Equation (66) equals
e
rt1
E
_
_
(S(t
1
) +D(t
1
)K)1
{S(t1)>S

1
}
_
_

F
0
_
= S
0
N(d
1
1
)Ke
rt1
N(d
2
1
) (68)
with
d
1
1
=
ln
_
S0e
(r)h
S

1
_
+ (r +
1
2

2
)t
1

t
1
and d
2
1
= d
1
1

t
1
. (69)
12
For the calculation of the second term we use the representation of the stock price
as in Equation (11) with l = 0 and rewrite
d
1
i
(t
1
) =
ln
_
S(t1)e
(r)ih
S

i+1
_
+
_
r +
1
2

2
_
ih

ih
(70)
=
ln
_
S0e
(r)(i+1)h
S

i+1
_
+ (r +
1
2

2
)(t
1
+ih)
2
t
1

ih
+
1

ih
W(t
1
) (71)
=
1
ni
+
1
ni
W(t
1
)

t
1
(72)
for i = 1, ..., n 1 as well as
d
1
n
(t
1
) =
ln
_
S(t1)e
(r)(n1)h
K
_
+ (r +
1
2

2
)(T t
1
)

T t
1
(73)
=
ln
_
S0e
(r)nh
K
_
+ (r +
1
2

2
)T
2
t
1

T t
1
+
1

T t
1
W(t
1
) (74)
=
1
1
+
1
1
W(t
1
)

t
1
. (75)
We note that the terms d
2
i
(t
1
) and d
2
n
(t
1
) can be rewritten in a similar way. Finally
we apply Lemma A.4 and Corollary A.5 in combination with Corollary A.7 and
Corollary A.8 to derive the required probabilities and recursively calculate the
correlation matrices C
(i)
from

C
(i1)
for i = 2, . . . , n + 1. Hence we get that the
price at time t = 0 is given by (47).

3.2 The Case of a Known Dividend followed by Stochastic


Dividends
In the following theorem we modify the results of Section 3.1 to the realistic case
that the rst coming dividend payment at t
1
is known and the remaining n 1
dividends are stochastic.
Theorem 3.2 The price of an American call option with strike K and maturity
T on a dividend paying stock with market price S
0
and a deterministic dividend D
1
at time t
1
and n1 stochastic dividends at times t
1
+h < < t
1
+(n1)h < T
during maturity is given by
C
1,n1
D
(S
0
, 0, T, K)
=
_
S
0
D
1
e
rt1
_

1,n1
1
(S
0
, 0) Ke
rT

1,n1
2
(S
0
, 0) +D
1
e
rt1
N(d
2
1
) (76)
13
where

1,n1
1
(S
0
, 0) = N(d
1
1
) +
n

i=1
e
(r)(i1)h
N
i+1
_
d
1
i+1
; C
(i+1)
_
(77)

1,n1
2
(S
0
, 0) = e
r(Tt1)
N(d
2
1
) +
n1

i=1
e
r(T(t1+ih))
N
i+1
_
d
2
i+1
; C
(i+1)
_
+N
n+1
_
d
2
n+1
; C
(n+1)
_
(78)
and where for i = 1, , n and a = 1, 2 we dene
d
a
i+1
= (d
a
i+1
, d
a
i
, , d
a
2
, d
a
1
) (79)
with
d
1
i
=
ln
_
(S0D1e
rt
1
)e
(r)(i1)h
S

i
_
+ (r +
1
2

2
)(t
1
+ (i 1)h)

_
t
1
+ (i 1)h
(80)
d
2
i
= d
1
i

_
t
1
+ (i 1)h (81)
as well as
d
1
n+1
=
ln
_
(S0D1e
rt
1
)e
(r)(n1)h
K
_
+ (r +
1
2

2
)T

T
(82)
d
2
n+1
= d
1
n+1

T (83)
and with S

1
, S

2
, , S

n
such that for i = 1, , n
C
0,ni
D
(S

i
, t
1
+ (i 1)h, T, K) = S

i
+D

i
K (84)
where D

1
= D
1
is the xed dividend at time t
1
and D

i
, i 2, are the unknown
dividends paid at times t
1
+ (i 1)h which equal
D

i
= S

i
1 e
(r)h
e
(r)h
. (85)
Proof: By Theorem 3.1 we know that the price of the American option at time t
1
equals
C
0,n1
D
(S(t
1
), t
1
, T, K) = S(t
1
)
0,n1
1
(S(t
1
), t
1
) Ke
rT

0,n1
2
(S(t
1
), t
1
) (86)
with
0,n1
1
(S(t
1
), t
1
) and
0,n1
2
(S(t
1
), t
1
) as dened by Equation (48) up to
Equation (79). Analogously to the argumentation in Theorem 3.1 we can now nd
a critical stock price S

1
at time t
1
such that the call should be exercised for
S(t
1
) > S

1
or should be hold for S(t
1
) S

1
. S

1
is the stock price such that holds
C
0,n1
D
(S

1
, t
1
, T, K) = S

1
+D
1
K (87)
14
where D
1
is the now known dividend to be paid at time t
1
. As before we can write
the option price at time t = 0 as
C
1,n1
D
(S
0
, 0, T, K) = E
_
e
rt1

_
_
(S(t
1
) +D
1
) K) 1
{S(t1)>S

1
}
_

F
0
_
+E
_
e
rt1

_
C
0,n1
D
(S(t
1
), t
1
, T, K) 1
{S(t1)S

1
}
__

F
0
_
(88)
where C
0,n1
D
(S(t
1
), t
1
, T, K) is given by Equation (86). We note that by using
the representation of the ex-dividend stock price at time t
1
as in Equation (11)
S(t
1
) =
_
S
0
D
1
e
rt1
_
e
(r
1
2

2
)t+W(t)
. (89)
the proof is an analogue to the proof of Theorem 3.1.
Remark. We note that if we allow several known dividend payments during
time to maturity, the option price can not be computed in this iterative way.
Alternatively one could use the argument as in [13], that only the last known
dividend payment is relevant and use its payment date as time t
1
in the above
recursion. Of course one would still have to take all the previous payments to this
date into account as in representation (9) to (11).
Conclusion
Since the introduction of the Black-Scholes formula in 1973 the pricing of European
options under the assumption that the stock price follows a geometric Brownian
motion is quite well understood. Not only has this formula been established as a
market standard for these types of options but is also a model most professional
market participants are quite familiar with. In this paper we used the general
dividend model of Korn and Rogers in a Black-Scholes framework in order to price
American Call options in closed-form. We derived closed-form solutions in the case
of multiple stochastic dividends during time to maturity of the option which might
be following a constant rst dividend payment. We also showed that the model
is consistent not only with the Black-Scholes price but also with the well-known
Roll-Geske-Whaley formula for the price of an American Call in the presence of a
known dividend payment.
References
[1] Bos, R.; Gairat A.; Shepelleva, A. (2003): Dealing with discrete dividends,
Risk, 16 (1), 109-112.
15
[2] Bos, M.; Vandermark, S. (2002): Fitnessing xed dividends, Risk, 15 (9),
157-158.
[3] Broadie, M., Detemple, J.; Ghysels, E.; Torres, O. (2000): American options
with stochastic dividends and volatility: a non-parametric investigation, Jour-
nal of Econometrics, 94, 53-92.
[4] Chance, D. M.; Kumar, R.; Rich, D. (2002): European option pricing with
discrete stochastic dividend, Journal of Derivatives, 9 (3), 39-45.
[5] Decamps, J.; Villeneuve, S. (2007): Optimal dividend policy and growth
option, Finance and Stochastic, 11, 3-27.
[6] Frishling, V. (2002): A discrete question, Risk, 15 (1), 115-116.
[7] Geske, R. (1978): The pricing of options with stochastic dividend yield, Jour-
nal of Finance, 33 (2), 617-625.
[8] Geske, R. (1979): The valuation of compound options, Journal of Financial
Economics, 7, 63-81.
[9] Geske, R. (1979): A note on an analytic valuation formula for unprotected
American call options on stocks with known dividends, Journal of Financial
Economics, 7, 375-380.
[10] Geske, R. (1981): Comments on Whaleys note, Journal of Financial Eco-
nomics, 9, 213-215.
[11] Gourieroux, C.; Monfort, A. (1989): Statistics and Econometric Models, Vol-
ume Two, Cambridge University Press.
[12] Haug, E. G.; Haug J.; Lewis, A. (2003): Back to basics: A new approach to
the discrete dividend problem, Wilmott Magazine, 9, 37-47.
[13] Hull, J.C. (2008): Options, Futures and Other Derivatives, Prentice Hall.
[14] Korn, R.; Rogers L.C.G. (2005): Stocks paying discrete dividends: modelling
and option pricing, Journal of Derivatives, 13 (2), 44-49.
[15] Roll, R. (1977): An analytic valuation formula for unprotected American call
options on stocks with known dividends, Journal of Financial Economics, 5,
251-258.
[16] Sterk, W. (1983): Comparative Performance of the Black-Scholes and Roll-
Geske-Whaley Option Pricing Models, Journal of Financial and Quantitative
Analysis, 18 (3), 345-354.
[17] Whaley, R. E. (1981): On the valuation of American call options on stocks
with known dividends, Journal of Financial Economics, 9, 207-211.
16
[18] Whaley, R. E. (1982): Valuation of American call options on dividend-paying
stocks: Empirical tests, Journal of Financial Economics, 10, 29-58.
[19] Zhu, S.P. (2005): A Closed-form Exact Solution for the Value of American Put
and its Optimal Exercise Boundary, Noise and Fluctuations in Econophysics
and Finance, 5848, 186 - 199.
A Appendix
We denote by

the transpose symbol, by 0
n
the n-dimensional null vector, by
I
n
the n n identity matrix and by N
n
(z
1
, . . . , z
n
;

C) the n-variate (standard)
normal cumulative distribution function (cdf) with correlation matrix

C at values
z
1
, . . . , z
n
.
A.1 Results on the Multivariate Normal Distribution
We rst give some useful results on block matrices and multivariate normal distri-
butions:
Lemma A.1 Let X N(,
2
) be a random variable and let Y =
(Y
1
, . . . , Y
n
)

N(0,

C) be a random vector where

C is a correlation matrix.
Assume that X and Y are independent. Further, denote by f
X
the probability
density function (pdf ) of X and consider a vector of constants = (
1
, . . . ,
n
)

.
Then holds
_

N
n
(
1
x +
1
, . . . ,
n
x +
n
,

C) f
X
(x) dx
= P(Y
1

1
X +
1
, . . . , Y
n

n
X +
n
, X )
= P(Z
1

1
, . . . , Z
n

n
, X )
where Z
j
= Y
j

j
X. Here, the vector Z = (Z
1
, . . . , Z
n
)

and X are jointly


normal with
_
Z
X
_
N
_
_
_
_

_
,
_
_
_

C +
2


2
_
_
_
_
_
_ .
Proof: Since X and Y are independent they follow a joint normal distribution
_
Y
X
_
N
_
_
_
_
0
n

_
,
_
_
_

C 0
n
0

n

2
_
_
_
_
_
_ =: N(, ) .
17
Furthermore we have
_
Z
X
_
= H
_
Y
X
_
with H =
_
_
_
I
n

0

n
1
_
_
_ .
Thus, the vector consisting of Z and X has expection and variancecovariance
matrix
H =
_

_
and HH

=
_
_
_

C +
2


2
_
_
_ .
With the help of some well-known properties for block matrices (see for example
[11], pp. 417419) we can now derive
det(HH

) =
2
det(

C) ,
(HH

)
1
=
_
_
_

C
1

C
1


C
1

2
+


C
1

_
_
_ .
Let z denote the vector (z
1
, . . . , z
n
)

. The joint density of Z and X is given by


f
Z,X
(z, x) =
1
_
det(2 HH

)
exp
_

1
2
_
z +
x
_

(HH

)
1
_
z +
x
_
_
Since we have that
_
z +
x
_

(HH

)
1
_
z +
x
_
= (z +x)


C
1
(z +x) +
(x )
2

2
.
it follows
P(Z
1

1
, . . . , Z
n

n
, X )
=
_

_
1

. . .
_
n

f
Z,X
(z, x) dz dx
=
_

f
X
(x)
_
1

. . .
_
n

1
_
det(2C)
exp
_

1
2
(z +x)


C
1
(z +x)
_
dz dx
=
_

f
X
(x) N(
1
x +
1
, . . . ,
n
x +
n
,

C) dx.

Corollary A.2 Under the same assumptions as in Lemma A.1 it follows that
_

N
n
(
1
x +
1
, . . . ,
n
x +
n
,

C) e
+x
f
X
(x) dx
= e
++
1
2

2
P(Z
1

1
, . . . , Z
n

n
,

X )
18
where the vector Z = (Z
1
, . . . , Z
n
)

and

X are jointly normal with
_
Z

X
_
N
_
_
_
_
( +
2
)
+
2
_
,
_
_
_

C +
2


2
_
_
_
_
_
_ .

Lemma A.3 Let again X N(,


2
) be a random variable and let Y =
(Y
1
, . . . , Y
n
)

N(0,

C) be a random vector where

C is a correlation matrix with
elements c
jk
. Assume and X and Y are independent and let further U be the
vector consisting of
Y
1

1
X, . . . , Y
n

n
X, and X .
Then the correlation matrix of U is given by the (n +1) (n +1) matrix C which
has o-diagonal elements
c
jk
=
_

_
c
jk
+j
k

1+
2
j

1+
2
k

2
for j = k and j, k = 1, . . . , n,
j

1+
2
j

2
for k = n + 1 and j = 1, . . . , n,

1+
2
k

2
for j = n + 1 and k = 1, . . . , n,
(90)
Proof: Consider again = (
1
, . . . ,
n
)

. From the proof of Lemma A.1 we know


that
Z = (Y
1

1
X, . . . , Y
n

n
X)

N
_
,

C +
2

_
and
U =
_
Z
X
_
N
_
_
_
_

_
,
_
_
_

C +
2


2
_
_
_
_
_
_ =: N(
u
,
u
) .
Denoting by D
u
the diagonal matrix having the elements of
u
on the diagonal,
we calculate the correlation matrix C by multiplying out D
1/2
u

u
D
1/2
u
.
Lemma A.4 Let f
X
be the standard normal pdf and let

C be a correlation matrix.
Then holds
_

N
n
(
1
x +
1
, . . . ,
n
x +
n
,

C) f
X
(x) dx
= N
n+1
_

1
_
1 +
2
1
, . . . ,

n
_
1 +
2
n
, , C
_
where C is the correlation matrix given in Equation (90).
19
Proof: The proof follows immediately by standardizing the Z
j
and X from
Lemma A.1, their correlation matrix C is given in Lemma A.3.
Corollary A.5 Under the same assumptions as in Lemma A.4 it follows that
_

N
n
(
1
x +
1
, . . . ,
n
x +
n
,

C) e
+x
f
X
(x) dx
= e
+
1
2

2
N
n+1
_

1
+
1
_
1 +
2
1
, . . . ,

n
+
n
_
1 +
2
n
, , C
_
where C is the correlation matrix given in Equation (90).
Proof: The proof follows immediately by standardizing the Z
j
and

X from Corol-
lary A.2, the correlation matrix C is still that given in Lemma A.3.
A.2 Recursive Calculation of the Distribution
From Lemma A.3 we see that the (n +1) (n +1) correlation matrix C of U is a
function of the nn correlation matrix

C and the parameters ,
1
, . . . ,
n
. To im-
plement the n-dividend case, we consider a sequence of time points t
1
, t
2
, . . . , t
n+1
and let the parameters =
n
,
j
=
nj
depend on these time points. The
following lemma shows how to calculate
C
(n+1)
=
_
_
_
_
_
_
_
_
_
_
_
1 c
(n+1)
12
. . . c
(n+1)
1,d+1
c
(n+1)
12
1 . . . c
(n+1)
2,n+1
.
.
.
.
.
.
.
.
.
.
.
.
c
(n+1)
1,n+1
c
(n+1)
2,n+1
. . . 1
_
_
_
_
_
_
_
_
_
_
_
in dependence of

C
(n)
which can then be used to compute the sequence
{C
(n+1)
}
n=1,2,...
recursively.
Lemma A.6 For a sequence of time points t
1
< t
2
< . . . < t
m+1
dene

j
=
_
t
mj+1
for j = 1, . . . , m,
and

jk
=
1

t
mk+2
t
mj+1
for all j = 1, . . . , m; k = 1, . . . , j and j k ,
and consider the recursion to obtain C
(m+1)
from

C
(m)
according to the

C C
mapping from Lemma A.3 starting at

C
(1)
= 1. Then the o-diagonal elements of
the (m+ 1) (m+ 1) correlation matrix C
(m+1)
are obtained by:
20
(a) case m = 1
c
(2)
12
=

11

1
_
1 +
2
11

2
1
=
_
t
1
t
2
(b) case m > 1
c
(m+1)
j,m+1
=

mj

m
_
1 +
2
mj

2
m
=

t
1
t
mj+2
for j = 1, . . . , m
c
(m+1)
jk
=
c
(m)
jk
+
mj

mk

2
m
_
1 +
2
mj

2
m
_
1 +
2
mk

2
m
for j = 1, . . . , m; k = j + 1, . . . , m
=
c
(m)
jk

t
mj+2
t
1

t
mk+2
t
1
+t
1

t
mj+2

t
mk+2
.
The following two corollaries dene the recursive algorithm to calculate the cor-
relation matrices for the n-dividend cases in Theorems 3.1 and 3.2. We here use
dividends paid at equidistant time points starting at t
1
. Corollary A.7 explains
how to compute the matrices C
(i+1)
, i < n, whereas Corollary A.8 considers the
calculation of C
(n+1)
.
Corollary A.7 Consider the sequence {t
1
, t
2
= t
1
+h, . . . , t
i+1
= t
1
+ih}, i < n.
We then obtain

j
=
_
t
1
+ (i j)h for j = 1, . . . , i,

jk
=
1
_
(j k + 1)h
for all j = 1, . . . , i ; k = 1, . . . , j and j k ,
and the o-diagonal elements of C
(i+1)
are given by
(a) case i = 1
c
(2)
12
=

11

1
_
1 +
2
11

2
1
=
_
t
1
t
1
+h
,
(b) case i > 1
c
(i+1)
j,i+1
=

ij

i
_
1 +
2
ij

2
i
=

t
1
t
1
+ (i j + 1)h
for j = 1, . . . , i,
c
(i+1)
jk
=
c
(i)
jk
+
ij

ik

2
i
_
1 +
2
ij

2
i
_
1 +
2
ik

2
i
for j = 1, . . . , i; k = j + 1, . . . , i .
=
c
(i)
jk
_
(i j + 1)h
_
(i k + 1)h +t
1
_
t
1
+ (i j + 1)h
_
t
1
+ (i k + 1)h
.
21
Corollary A.8 Consider the sequence {t
1
, t
2
= t
1
+ h, . . . , t
n
= t
1
+ (n 1)h,
t
n+1
= T}. We now have

j
=
_
t
1
+ (n j)h for j = 1, . . . , n,

j1
=
1
_
T t
1
(n j)h
,

jk
=
1
_
(j k + 1)h
for all j = 2, . . . , n; k = 2, . . . , j and j k ,
and the o-diagonal elements of C
(n+1)
are given by
(a) case n = 1
c
(2)
12
=

11

1
_
1 +
2
11

2
1
=
_
t
1
T
,
(b) case n > 1
c
(n+1)
1,n+1
=

n1

n
_
1 +
2
n1

2
n
=
_
t
1
T
,
c
(n+1)
1k
=
c
(n)
1k
+
n1

nk

2
n
_
1 +
2
n1

2
n
_
1 +
2
nk

2
n
for k = 2, . . . , n.
=
c
(n)
jk

T t
1
_
(n k + 1)h +t
1

T
_
t
1
+ (n k + 1)h
c
(n+1)
j,n+1
=

nj

n
_
1 +
2
nj

2
n
=

t
1
t
1
+ (n j + 1)h
for j = 2, . . . , n,
c
(n+1)
jk
=
c
(n)
jk
+
nj

nk

2
n
_
1 +
2
nj

2
n
_
1 +
2
nk

2
n
for j = 2, . . . , n; k = j + 1, . . . , n.
=
c
(n)
jk
_
(n j + 1)h
_
(n k + 1)h +t
1
_
t
1
+ (n j + 1)h
_
t
1
+ (n k + 1)h
.
22
Published reports of the
Fraunhofer ITWM
The PDF-fles of the following reports
are available under:
www.itwm.fraunhofer.de/de/
zentral__berichte/berichte
1. D. Hietel, K. Steiner, J. Struckmeier
A Finite - Volume Particle Method for
Compressible Flows
(19 pages, 1998)
2. M. Feldmann, S. Seibold
Damage Diagnosis of Rotors: Application
of Hilbert Transform and Multi-Hypothe-
sis Testing
Keywords: Hilbert transform, damage diagnosis,
Kalman fltering, non-linear dynamics
(23 pages, 1998)
3. Y. Ben-Haim, S. Seibold
Robust Reliability of Diagnostic Multi-
Hypothesis Algorithms: Application to
Rotating Machinery
Keywords: Robust reliability, convex models, Kalman fl-
tering, multi-hypothesis diagnosis, rotating machinery,
crack diagnosis
(24 pages, 1998)
4. F.-Th. Lentes, N. Siedow
Three-dimensional Radiative Heat Transfer
in Glass Cooling Processes
(23 pages, 1998)
5. A. Klar, R. Wegener
A hierarchy of models for multilane vehicu-
lar traffc
Part I: Modeling
(23 pages, 1998)
Part II: Numerical and stochastic investigations
(17 pages, 1998)
6. A. Klar, N. Siedow
Boundary Layers and Domain Decomposi-
tion for Radiative Heat Transfer and Diffu-
sion Equations: Applications to Glass Manu-
facturing Processes
(24 pages, 1998)
7. I. Choquet
Heterogeneous catalysis modelling and
numerical simulation in rarifed gas fows
Part I: Coverage locally at equilibrium
(24 pages, 1998)
8. J. Ohser, B. Steinbach, C. Lang
Effcient Texture Analysis of Binary Images
(17 pages, 1998)
9. J. Orlik
Homogenization for viscoelasticity of the
integral type with aging and shrinkage
(20 pages, 1998)
10. J. Mohring
Helmholtz Resonators with Large Aperture
(21 pages, 1998)
11. H. W. Hamacher, A. Schbel
On Center Cycles in Grid Graphs
(15 pages, 1998)
12. H. W. Hamacher, K.-H. Kfer
Inverse radiation therapy planning -
a multiple objective optimisation approach
(14 pages, 1999)
13. C. Lang, J. Ohser, R. Hilfer
On the Analysis of Spatial Binary Images
(20 pages, 1999)
14. M. Junk
On the Construction of Discrete Equilibrium
Distributions for Kinetic Schemes
(24 pages, 1999)
15. M. Junk, S. V. Raghurame Rao
A new discrete velocity method for Navier-
Stokes equations
(20 pages, 1999)
16. H. Neunzert
Mathematics as a Key to Key Technologies
(39 pages (4 PDF-Files), 1999)
17. J. Ohser, K. Sandau
Considerations about the Estimation of the
Size Distribution in Wicksells Corpuscle
Problem
(18 pages, 1999)
18. E. Carrizosa, H. W. Hamacher, R. Klein,
S. Nickel
Solving nonconvex planar location prob-
lems by fnite dominating sets
Keywords: Continuous Location, Polyhedral Gauges,
Finite Dominating Sets, Approximation, Sandwich Algo-
rithm, Greedy Algorithm
(19 pages, 2000)
19. A. Becker
A Review on Image Distortion Measures
Keywords: Distortion measure, human visual system
(26 pages, 2000)
20. H. W. Hamacher, M. Labb, S. Nickel,
T. Sonneborn
Polyhedral Properties of the Uncapacitated
Multiple Allocation Hub Location Problem
Keywords: integer programming, hub location, facility
location, valid inequalities, facets, branch and cut
(21 pages, 2000)
21. H. W. Hamacher, A. Schbel
Design of Zone Tariff Systems in Public
Transportation
(30 pages, 2001)
22. D. Hietel, M. Junk, R. Keck, D. Teleaga
The Finite-Volume-Particle Method for
Conservation Laws
(16 pages, 2001)
23. T. Bender, H. Hennes, J. Kalcsics, M. T. Melo,
S. Nickel
Location Software and Interface with GIS
and Supply Chain Management
Keywords: facility location, software development,
geographical information systems, supply chain man-
agement
(48 pages, 2001)
24. H. W. Hamacher, S. A. Tjandra
Mathematical Modelling of Evacuation
Problems: A State of Art
(44 pages, 2001)
25. J. Kuhnert, S. Tiwari
Grid free method for solving the Poisson
equation
Keywords: Poisson equation, Least squares method,
Grid free method
(19 pages, 2001)
26. T. Gtz, H. Rave, D. Reinel-Bitzer,
K. Steiner, H. Tiemeier
Simulation of the fber spinning process
Keywords: Melt spinning, fber model, Lattice Boltz-
mann, CFD
(19 pages, 2001)
27. A. Zemitis
On interaction of a liquid flm with an obstacle
Keywords: impinging jets, liquid flm, models, numeri-
cal solution, shape
(22 pages, 2001)
28. I. Ginzburg, K. Steiner
Free surface lattice-Boltzmann method to
model the flling of expanding cavities by
Bingham Fluids
Keywords: Generalized LBE, free-surface phenomena,
interface boundary conditions, flling processes, Bing-
ham viscoplastic model, regularized models
(22 pages, 2001)
29. H. Neunzert
Denn nichts ist fr den Menschen als Men-
schen etwas wert, was er nicht mit Leiden-
schaft tun kann
Vortrag anlsslich der Verleihung des
Akademie preises des Landes Rheinland-
Pfalz am 21.11.2001
Keywords: Lehre, Forschung, angewandte Mathematik,
Mehrskalenanalyse, Strmungsmechanik
(18 pages, 2001)
30. J. Kuhnert, S. Tiwari
Finite pointset method based on the projec-
tion method for simulations of the incom-
pressible Navier-Stokes equations
Keywords: Incompressible Navier-Stokes equations,
Meshfree method, Projection method, Particle scheme,
Least squares approximation
AMS subject classifcation: 76D05, 76M28
(25 pages, 2001)
31. R. Korn, M. Krekel
Optimal Portfolios with Fixed Consumption
or Income Streams
Keywords: Portfolio optimisation, stochastic control,
HJB equation, discretisation of control problems
(23 pages, 2002)
32. M. Krekel
Optimal portfolios with a loan dependent
credit spread
Keywords: Portfolio optimisation, stochastic control,
HJB equation, credit spread, log utility, power utility,
non-linear wealth dynamics
(25 pages, 2002)
33. J. Ohser, W. Nagel, K. Schladitz
The Euler number of discretized sets on the
choice of adjacency in homogeneous lattices
Keywords: image analysis, Euler number, neighborhod
relationships, cuboidal lattice
(32 pages, 2002)
34. I. Ginzburg, K. Steiner
Lattice Boltzmann Model for Free-Surface
fow and Its Application to Filling Process in
Casting
Keywords: Lattice Boltzmann models; free-surface phe-
nomena; interface boundary conditions; flling pro-
cesses; injection molding; volume of fuid method; in-
terface boundary conditions; advection-schemes; up-
wind-schemes
(54 pages, 2002)
35. M. Gnther, A. Klar, T. Materne, R. Wegen-
er
Multivalued fundamental diagrams and stop
and go waves for continuum traffc equations
Keywords: traffc fow, macroscopic equations, kinetic
derivation, multivalued fundamental diagram, stop and
go waves, phase transitions
(25 pages, 2002)
36. S. Feldmann, P. Lang, D. Prtzel-Wolters
Parameter infuence on the zeros of net-
work determinants
Keywords: Networks, Equicofactor matrix polynomials,
Realization theory, Matrix perturbation theory
(30 pages, 2002)
37. K. Koch, J. Ohser, K. Schladitz
Spectral theory for random closed sets and
es timating the covariance via frequency
space
Keywords: Random set, Bartlett spectrum, fast Fourier
transform, power spectrum
(28 pages, 2002)
38. D. dHumires, I. Ginzburg
Multi-refection boundary conditions for
lattice Boltzmann models
Keywords: lattice Boltzmann equation, boudary condis-
tions, bounce-back rule, Navier-Stokes equation
(72 pages, 2002)
39. R. Korn
Elementare Finanzmathematik
Keywords: Finanzmathematik, Aktien, Optionen, Port-
folio-Optimierung, Brse, Lehrerweiterbildung, Mathe-
matikunterricht
(98 pages, 2002)
40. J. Kallrath, M. C. Mller, S. Nickel
Batch Presorting Problems:
Models and Complexity Results
Keywords: Complexity theory, Integer programming,
Assigment, Logistics
(19 pages, 2002)
41. J. Linn
On the frame-invariant description of the
phase space of the Folgar-Tucker equation
Key words: fber orientation, Folgar-Tucker equation, in-
jection molding
(5 pages, 2003)
42. T. Hanne, S. Nickel
A Multi-Objective Evolutionary Algorithm
for Scheduling and Inspection Planning in
Software Development Projects
Key words: multiple objective programming, project
management and scheduling, software development,
evolutionary algorithms, effcient set
(29 pages, 2003)
43. T. Bortfeld , K.-H. Kfer, M. Monz,
A. Scherrer, C. Thieke, H. Trinkaus
Intensity-Modulated Radiotherapy - A Large
Scale Multi-Criteria Programming Problem
Keywords: multiple criteria optimization, representa-
tive systems of Pareto solutions, adaptive triangulation,
clustering and disaggregation techniques, visualization
of Pareto solutions, medical physics, external beam ra-
diotherapy planning, intensity modulated radiotherapy
(31 pages, 2003)
44. T. Halfmann, T. Wichmann
Overview of Symbolic Methods in Industrial
Analog Circuit Design
Keywords: CAD, automated analog circuit design, sym-
bolic analysis, computer algebra, behavioral modeling,
system simulation, circuit sizing, macro modeling, dif-
ferential-algebraic equations, index
(17 pages, 2003)
45. S. E. Mikhailov, J. Orlik
Asymptotic Homogenisation in Strength
and Fatigue Durability Analysis of Compos-
ites
Keywords: multiscale structures, asymptotic homoge-
nization, strength, fatigue, singularity, non-local con-
ditions
(14 pages, 2003)
46. P. Domnguez-Marn, P. Hansen,
N. Mladenovi c , S. Nickel
Heuristic Procedures for Solving the
Discrete Ordered Median Problem
Keywords: genetic algorithms, variable neighborhood
search, discrete facility location
(31 pages, 2003)
47. N. Boland, P. Domnguez-Marn, S. Nickel,
J. Puerto
Exact Procedures for Solving the Discrete
Ordered Median Problem
Keywords: discrete location, Integer programming
(41 pages, 2003)
48. S. Feldmann, P. Lang
Pad-like reduction of stable discrete linear
systems preserving their stability
Keywords: Discrete linear systems, model reduction,
stability, Hankel matrix, Stein equation
(16 pages, 2003)
49. J. Kallrath, S. Nickel
A Polynomial Case of the Batch Presorting
Problem
Keywords: batch presorting problem, online optimization,
competetive analysis, polynomial algorithms, logistics
(17 pages, 2003)
50. T. Hanne, H. L. Trinkaus
knowCube for MCDM
Visual and Interactive Support for
Multicriteria Decision Making
Key words: Multicriteria decision making, knowledge
management, decision support systems, visual interfac-
es, interactive navigation, real-life applications.
(26 pages, 2003)
51. O. Iliev, V. Laptev
On Numerical Simulation of Flow Through
Oil Filters
Keywords: oil flters, coupled fow in plain and porous
media, Navier-Stokes, Brinkman, numerical simulation
(8 pages, 2003)
52. W. Drfer, O. Iliev, D. Stoyanov, D. Vassileva
On a Multigrid Adaptive Refnement Solver
for Saturated Non-Newtonian Flow in
Porous Media
Keywords: Nonlinear multigrid, adaptive refnement,
non-Newtonian fow in porous media
(17 pages, 2003)
53. S. Kruse
On the Pricing of Forward Starting Options
under Stochastic Volatility
Keywords: Option pricing, forward starting options,
Heston model, stochastic volatility, cliquet options
(11 pages, 2003)
54. O. Iliev, D. Stoyanov
Multigrid adaptive local refnement solver
for incompressible fows
Keywords: Navier-Stokes equations, incompressible fow,
projection-type splitting, SIMPLE, multigrid methods,
adaptive local refnement, lid-driven fow in a cavity
(37 pages, 2003)
55. V. Starikovicius
The multiphase fow and heat transfer in
porous media
Keywords: Two-phase fow in porous media, various
formulations, global pressure, multiphase mixture mod-
el, numerical simulation
(30 pages, 2003)
56. P. Lang, A. Sarishvili, A. Wirsen
Blocked neural networks for knowledge ex-
traction in the software development process
Keywords: Blocked Neural Networks, Nonlinear Regres-
sion, Knowledge Extraction, Code Inspection
(21 pages, 2003)
57. H. Knaf, P. Lang, S. Zeiser
Diagnosis aiding in Regulation
Thermography using Fuzzy Logic
Keywords: fuzzy logic,knowledge representation,
expert system
(22 pages, 2003)
58. M. T. Melo, S. Nickel, F. Saldanha da Gama
Large scale models for dynamic multi-
commodity capacitated facility location
Keywords: supply chain management, strategic
planning, dynamic location, modeling
(40 pages, 2003)
59. J. Orlik
Homogenization for contact problems with
periodically rough surfaces
Keywords: asymptotic homogenization, contact problems
(28 pages, 2004)
60. A. Scherrer, K.-H. Kfer, M. Monz,
F. Alonso, T. Bortfeld
IMRT planning on adaptive volume struc-
tures a signifcant advance of computa-
tional complexity
Keywords: Intensity-modulated radiation therapy
(IMRT), inverse treatment planning, adaptive volume
structures, hierarchical clustering, local refnement,
adaptive clustering, convex programming, mesh gener-
ation, multi-grid methods
(24 pages, 2004)
61. D. Kehrwald
Parallel lattice Boltzmann simulation
of complex fows
Keywords: Lattice Boltzmann methods, parallel com-
puting, microstructure simulation, virtual material de-
sign, pseudo-plastic fuids, liquid composite moulding
(12 pages, 2004)
62. O. Iliev, J. Linn, M. Moog, D. Niedziela,
V. Starikovicius
On the Performance of Certain Iterative
Solvers for Coupled Systems Arising in Dis-
cretization of Non-Newtonian Flow Equa-
tions
Keywords: Performance of iterative solvers, Precondi-
tioners, Non-Newtonian fow
(17 pages, 2004)
63. R. Ciegis, O. Iliev, S. Rief, K. Steiner
On Modelling and Simulation of Different
Regimes for Liquid Polymer Moulding
Keywords: Liquid Polymer Moulding, Modelling, Simu-
lation, Infltration, Front Propagation, non-Newtonian
fow in porous media
(43 pages, 2004)
64. T. Hanne, H. Neu
Simulating Human Resources in
Software Development Processes
Keywords: Human resource modeling, software process,
productivity, human factors, learning curve
(14 pages, 2004)
65. O. Iliev, A. Mikelic, P. Popov
Fluid structure interaction problems in de-
formable porous media: Toward permeabil-
ity of deformable porous media
Keywords: fuid-structure interaction, deformable po-
rous media, upscaling, linear elasticity, stokes, fnite el-
ements
(28 pages, 2004)
66. F. Gaspar, O. Iliev, F. Lisbona, A. Naumovich,
P. Vabishchevich
On numerical solution of 1-D poroelasticity
equations in a multilayered domain
Keywords: poroelasticity, multilayered material, fnite
volume discretization, MAC type grid
(41 pages, 2004)
67. J. Ohser, K. Schladitz, K. Koch, M. Nthe
Diffraction by image processing and its ap-
plication in materials science
Keywords: porous microstructure, image analysis, ran-
dom set, fast Fourier transform, power spectrum, Bar-
tlett spectrum
(13 pages, 2004)
68. H. Neunzert
Mathematics as a Technology: Challenges
for the next 10 Years
Keywords: applied mathematics, technology, modelling,
simulation, visualization, optimization, glass processing,
spinning processes, fber-fuid interaction, trubulence
effects, topological optimization, multicriteria optimiza-
tion, Uncertainty and Risk, fnancial mathematics, Mal-
liavin calculus, Monte-Carlo methods, virtual material
design, fltration, bio-informatics, system biology
(29 pages, 2004)
69. R. Ewing, O. Iliev, R. Lazarov, A. Naumovich
On convergence of certain fnite difference
discretizations for 1 D poroelasticity inter-
face problems
Keywords: poroelasticity, multilayered material, fnite
volume discretizations, MAC type grid, error estimates
(26 pages,2004)
70. W. Drfer, O. Iliev, D. Stoyanov, D. Vassileva
On Effcient Simulation of Non-Newto-
nian Flow in Saturated Porous Media with a
Multigrid Adaptive Refnement Solver
Keywords: Nonlinear multigrid, adaptive renement,
non-Newtonian in porous media
(25 pages, 2004)
71. J. Kalcsics, S. Nickel, M. Schrder
Towards a Unifed Territory Design Approach
Applications, Algorithms and GIS Integration
Keywords: territory desgin, political districting, sales
territory alignment, optimization algorithms, Geo-
graphical Information Systems
(40 pages, 2005)
72. K. Schladitz, S. Peters, D. Reinel-Bitzer,
A. Wiegmann, J. Ohser
Design of acoustic trim based on geometric
modeling and fow simulation for non-woven
Keywords: random system of fbers, Poisson
line process, fow resistivity, acoustic absorption,
Lattice-Boltzmann method, non-woven
(21 pages, 2005)
73. V. Rutka, A. Wiegmann
Explicit Jump Immersed Interface Method
for virtual material design of the effective
elastic moduli of composite materials
Keywords: virtual material design, explicit jump im-
mersed interface method, effective elastic moduli,
composite materials
(22 pages, 2005)
74. T. Hanne
Eine bersicht zum Scheduling von Baustellen
Keywords: Projektplanung, Scheduling, Bauplanung,
Bauindustrie
(32 pages, 2005)
75. J. Linn
The Folgar-Tucker Model as a Differetial
Algebraic System for Fiber Orientation
Calculation
Keywords: fber orientation, FolgarTucker model, in-
variants, algebraic constraints, phase space, trace sta-
bility
(15 pages, 2005)
76. M. Speckert, K. Dreler, H. Mauch,
A. Lion, G. J. Wierda
Simulation eines neuartigen Prf systems
fr Achserprobungen durch MKS-Model-
lierung einschlielich Regelung
Keywords: virtual test rig, suspension testing,
multibody simulation, modeling hexapod test rig, opti-
mization of test rig confguration
(20 pages, 2005)
77. K.-H. Kfer, M. Monz, A. Scherrer, P. Sss,
F. Alonso, A. S. A. Sultan, Th. Bortfeld,
D. Craft, Chr. Thieke
Multicriteria optimization in intensity
modulated radiotherapy planning
Keywords: multicriteria optimization, extreme solu-
tions, real-time decision making, adaptive approxima-
tion schemes, clustering methods, IMRT planning, re-
verse engineering
(51 pages, 2005)
78. S. Amstutz, H. Andr
A new algorithm for topology optimization
using a level-set method
Keywords: shape optimization, topology optimization,
topological sensitivity, level-set
(22 pages, 2005)
79. N. Ettrich
Generation of surface elevation models for
urban drainage simulation
Keywords: Flooding, simulation, urban elevation
models, laser scanning
(22 pages, 2005)
80. H. Andr, J. Linn, I. Matei, I. Shklyar,
K. Steiner, E. Teichmann
OPTCAST Entwicklung adquater Struk-
turoptimierungsverfahren fr Gieereien
Technischer Bericht (KURZFASSUNG)
Keywords: Topologieoptimierung, Level-Set-Methode,
Gieprozesssimulation, Gietechnische Restriktionen,
CAE-Kette zur Strukturoptimierung
(77 pages, 2005)
81. N. Marheineke, R. Wegener
Fiber Dynamics in Turbulent Flows
Part I: General Modeling Framework
Keywords: fber-fuid interaction; Cosserat rod; turbu-
lence modeling; Kolmogorovs energy spectrum; dou-
ble-velocity correlations; differentiable Gaussian felds
(20 pages, 2005)
Part II: Specifc Taylor Drag
Keywords: fexible fbers; k-e turbulence model; f-
ber-turbulence interaction scales; air drag; random
Gaussian aerodynamic force; white noise; stochastic
differential equations; ARMA process
(18 pages, 2005)
82. C. H. Lampert, O. Wirjadi
An Optimal Non-Orthogonal Separation of
the Anisotropic Gaussian Convolution Filter
Keywords: Anisotropic Gaussian flter, linear fltering, ori-
entation space, nD image processing, separable flters
(25 pages, 2005)
83. H. Andr, D. Stoyanov
Error indicators in the parallel fnite ele-
ment solver for linear elasticity DDFEM
Keywords: linear elasticity, fnite element method, hier-
archical shape functions, domain decom-position, par-
allel implementation, a posteriori error estimates
(21 pages, 2006)
84. M. Schrder, I. Solchenbach
Optimization of Transfer Quality in
Regional Public Transit
Keywords: public transit, transfer quality, quadratic
assignment problem
(16 pages, 2006)
85. A. Naumovich, F. J. Gaspar
On a multigrid solver for the three-dimen-
sional Biot poroelasticity system in multi-
layered domains
Keywords: poroelasticity, interface problem, multigrid,
operator-dependent prolongation
(11 pages, 2006)
86. S. Panda, R. Wegener, N. Marheineke
Slender Body Theory for the Dynamics of
Curved Viscous Fibers
Keywords: curved viscous fbers; fuid dynamics; Navier-
Stokes equations; free boundary value problem; asymp-
totic expansions; slender body theory
(14 pages, 2006)
87. E. Ivanov, H. Andr, A. Kudryavtsev
Domain Decomposition Approach for Auto-
matic Parallel Generation of Tetrahedral Grids
Key words: Grid Generation, Unstructured Grid, Delau-
nay Triangulation, Parallel Programming, Domain De-
composition, Load Balancing
(18 pages, 2006)
88. S. Tiwari, S. Antonov, D. Hietel, J. Kuhnert,
R. Wegener
A Meshfree Method for Simulations of In-
teractions between Fluids and Flexible
Structures
Key words: Meshfree Method, FPM, Fluid Structure
Interaction, Sheet of Paper, Dynamical Coupling
(16 pages, 2006)
89. R. Ciegis , O. Iliev, V. Starikovicius, K. Steiner
Numerical Algorithms for Solving Problems
of Multiphase Flows in Porous Media
Keywords: nonlinear algorithms, fnite-volume method,
software tools, porous media, fows
(16 pages, 2006)
90. D. Niedziela, O. Iliev, A. Latz
On 3D Numerical Simulations of Viscoelastic
Fluids
Keywords: non-Newtonian fuids, anisotropic viscosity,
integral constitutive equation
(18 pages, 2006)
91. A. Winterfeld
Application of general semi-infnite Pro-
gramming to Lapidary Cutting Problems
Keywords: large scale optimization, nonlinear program-
ming, general semi-infnite optimization, design center-
ing, clustering
(26 pages, 2006)
92. J. Orlik, A. Ostrovska
Space-Time Finite Element Approximation
and Numerical Solution of Hereditary
Linear Viscoelasticity Problems
Keywords: hereditary viscoelasticity; kern approxima-
tion by interpolation; space-time fnite element approxi-
mation, stability and a priori estimate
(24 pages, 2006)
93. V. Rutka, A. Wiegmann, H. Andr
EJIIM for Calculation of effective Elastic
Moduli in 3D Linear Elasticity
Keywords: Elliptic PDE, linear elasticity, irregular do-
main, fnite differences, fast solvers, effective elas-
tic moduli
(24 pages, 2006)
94. A. Wiegmann, A. Zemitis
EJ-HEAT: A Fast Explicit Jump Harmonic
Averaging Solver for the Effective Heat
Conductivity of Composite Materials
Keywords: Stationary heat equation, effective ther-
mal conductivity, explicit jump, discontinuous coeff-
cients, virtual material design, microstructure simula-
tion, EJ-HEAT
(21 pages, 2006)
95. A. Naumovich
On a fnite volume discretization of the
three-dimensional Biot poroelasticity sys-
tem in multilayered domains
Keywords: Biot poroelasticity system, interface problems,
fnite volume discretization, fnite difference method
(21 pages, 2006)
96. M. Krekel, J. Wenzel
A unifed approach to Credit Default Swap-
tion and Constant Maturity Credit Default
Swap valuation
Keywords: LIBOR market model, credit risk, Credit De-
fault Swaption, Constant Maturity Credit Default Swap-
method
(43 pages, 2006)
97. A. Dreyer
Interval Methods for Analog Circiuts
Keywords: interval arithmetic, analog circuits, tolerance
analysis, parametric linear systems, frequency response,
symbolic analysis, CAD, computer algebra
(36 pages, 2006)
98. N. Weigel, S. Weihe, G. Bitsch, K. Dreler
Usage of Simulation for Design and Optimi-
zation of Testing
Keywords: Vehicle test rigs, MBS, control, hydraulics,
testing philosophy
(14 pages, 2006)
99. H. Lang, G. Bitsch, K. Dreler, M. Speckert
Comparison of the solutions of the elastic
and elastoplastic boundary value problems
Keywords: Elastic BVP, elastoplastic BVP, variational
inequalities, rate-independency, hysteresis, linear kine-
matic hardening, stop- and play-operator
(21 pages, 2006)
100. M. Speckert, K. Dreler, H. Mauch
MBS Simulation of a hexapod based sus-
pension test rig
Keywords: Test rig, MBS simulation, suspension,
hydraulics, controlling, design optimization
(12 pages, 2006)
101. S. Azizi Sultan, K.-H. Kfer
A dynamic algorithm for beam orientations
in multicriteria IMRT planning
Keywords: radiotherapy planning, beam orientation
optimization, dynamic approach, evolutionary algo-
rithm, global optimization
(14 pages, 2006)
102. T. Gtz, A. Klar, N. Marheineke, R. Wegener
A Stochastic Model for the Fiber Lay-down
Process in the Nonwoven Production
Keywords: fber dynamics, stochastic Hamiltonian sys-
tem, stochastic averaging
(17 pages, 2006)
103. Ph. Sss, K.-H. Kfer
Balancing control and simplicity: a variable
aggregation method in intensity modulated
radiation therapy planning
Keywords: IMRT planning, variable aggregation, clus-
tering methods
(22 pages, 2006)
104. A. Beaudry, G. Laporte, T. Melo, S. Nickel
Dynamic transportation of patients in hos-
pitals
Keywords: in-house hospital transportation, dial-a-ride,
dynamic mode, tabu search
(37 pages, 2006)
105. Th. Hanne
Applying multiobjective evolutionary algo-
rithms in industrial projects
Keywords: multiobjective evolutionary algorithms, dis-
crete optimization, continuous optimization, electronic
circuit design, semi-infnite programming, scheduling
(18 pages, 2006)
106. J. Franke, S. Halim
Wild bootstrap tests for comparing signals
and images
Keywords: wild bootstrap test, texture classifcation,
textile quality control, defect detection, kernel estimate,
nonparametric regression
(13 pages, 2007)
107. Z. Drezner, S. Nickel
Solving the ordered one-median problem in
the plane
Keywords: planar location, global optimization, ordered
median, big triangle small triangle method, bounds,
numerical experiments
(21 pages, 2007)
108. Th. Gtz, A. Klar, A. Unterreiter,
R. Wegener
Numerical evidance for the non- existing of
solutions of the equations desribing rota-
tional fber spinning
Keywords: rotational fber spinning, viscous fbers,
boundary value problem, existence of solutions
(11 pages, 2007)
109. Ph. Sss, K.-H. Kfer
Smooth intensity maps and the Bortfeld-
Boyer sequencer
Keywords: probabilistic analysis, intensity modulated
radiotherapy treatment (IMRT), IMRT plan application,
step-and-shoot sequencing
(8 pages, 2007)
110. E. Ivanov, O. Gluchshenko, H. Andr,
A. Kudryavtsev
Parallel software tool for decomposing and
meshing of 3d structures
Keywords: a-priori domain decomposition, unstruc-
tured grid, Delaunay mesh generation
(14 pages, 2007)
111. O. Iliev, R. Lazarov, J. Willems
Numerical study of two-grid precondition-
ers for 1d elliptic problems with highly
oscillating discontinuous coeffcients
Keywords: two-grid algorithm, oscillating coeffcients,
preconditioner
(20 pages, 2007)
112. L. Bonilla, T. Gtz, A. Klar, N. Marheineke,
R. Wegener
Hydrodynamic limit of the Fokker-Planck-
equation describing fber lay-down pro-
cesses
Keywords: stochastic dierential equations, Fokker-
Planck equation, asymptotic expansion, Ornstein-
Uhlenbeck process
(17 pages, 2007)
113. S. Rief
Modeling and simulation of the pressing
section of a paper machine
Keywords: paper machine, computational fuid dynam-
ics, porous media
(41 pages, 2007)
114. R. Ciegis, O. Iliev, Z. Lakdawala
On parallel numerical algorithms for simu-
lating industrial fltration problems
Keywords: Navier-Stokes-Brinkmann equations, fnite
volume discretization method, SIMPLE, parallel comput-
ing, data decomposition method
(24 pages, 2007)
115. N. Marheineke, R. Wegener
Dynamics of curved viscous fbers with sur-
face tension
Keywords: Slender body theory, curved viscous bers
with surface tension, free boundary value problem
(25 pages, 2007)
116. S. Feth, J. Franke, M. Speckert
Resampling-Methoden zur mse-Korrektur
und Anwendungen in der Betriebsfestigkeit
Keywords: Weibull, Bootstrap, Maximum-Likelihood,
Betriebsfestigkeit
(16 pages, 2007)
117. H. Knaf
Kernel Fisher discriminant functions a con-
cise and rigorous introduction
Keywords: wild bootstrap test, texture classifcation,
textile quality control, defect detection, kernel estimate,
nonparametric regression
(30 pages, 2007)
118. O. Iliev, I. Rybak
On numerical upscaling for fows in hetero-
geneous porous media
Keywords: numerical upscaling, heterogeneous porous
media, single phase fow, Darcys law, multiscale prob-
lem, effective permeability, multipoint fux approxima-
tion, anisotropy
(17 pages, 2007)
119. O. Iliev, I. Rybak
On approximation property of multipoint
fux approximation method
Keywords: Multipoint fux approximation, fnite volume
method, elliptic equation, discontinuous tensor coeff-
cients, anisotropy
(15 pages, 2007)
120. O. Iliev, I. Rybak, J. Willems
On upscaling heat conductivity for a class of
industrial problems
Keywords: Multiscale problems, effective heat conduc-
tivity, numerical upscaling, domain decomposition
(21 pages, 2007)
121. R. Ewing, O. Iliev, R. Lazarov, I. Rybak
On two-level preconditioners for fow in
porous media
Keywords: Multiscale problem, Darcys law, single
phase fow, anisotropic heterogeneous porous media,
numerical upscaling, multigrid, domain decomposition,
effcient preconditioner
(18 pages, 2007)
122. M. Brickenstein, A. Dreyer
POLYBORI: A Grbner basis framework
for Boolean polynomials
Keywords: Grbner basis, formal verifcation, Boolean
polynomials, algebraic cryptoanalysis, satisfability
(23 pages, 2007)
123. O. Wirjadi
Survey of 3d image segmentation methods
Keywords: image processing, 3d, image segmentation,
binarization
(20 pages, 2007)
124. S. Zeytun, A. Gupta
A Comparative Study of the Vasicek and the
CIR Model of the Short Rate
Keywords: interest rates, Vasicek model, CIR-model,
calibration, parameter estimation
(17 pages, 2007)
125. G. Hanselmann, A. Sarishvili
Heterogeneous redundancy in software
quality prediction using a hybrid Bayesian
approach
Keywords: reliability prediction, fault prediction, non-
homogeneous poisson process, Bayesian model aver-
aging
(17 pages, 2007)
126. V. Maag, M. Berger, A. Winterfeld, K.-H.
Kfer
A novel non-linear approach to minimal
area rectangular packing
Keywords: rectangular packing, non-overlapping con-
straints, non-linear optimization, regularization, relax-
ation
(18 pages, 2007)
127. M. Monz, K.-H. Kfer, T. Bortfeld, C. Thieke
Pareto navigation systematic multi-crite-
ria-based IMRT treatment plan determina-
tion
Keywords: convex, interactive multi-objective optimiza-
tion, intensity modulated radiotherapy planning
(15 pages, 2007)
128. M. Krause, A. Scherrer
On the role of modeling parameters in IMRT
plan optimization
Keywords: intensity-modulated radiotherapy (IMRT),
inverse IMRT planning, convex optimization, sensitiv-
ity analysis, elasticity, modeling parameters, equivalent
uniform dose (EUD)
(18 pages, 2007)
129. A. Wiegmann
Computation of the permeability of porous
materials from their microstructure by FFF-
Stokes
Keywords: permeability, numerical homogenization,
fast Stokes solver
(24 pages, 2007)
130. T. Melo, S. Nickel, F. Saldanha da Gama
Facility Location and Supply Chain Manage-
ment A comprehensive review
Keywords: facility location, supply chain management,
network design
(54 pages, 2007)
131. T. Hanne, T. Melo, S. Nickel
Bringing robustness to patient fow
manage ment through optimized patient
transports in hospitals
Keywords: Dial-a-Ride problem, online problem, case
study, tabu search, hospital logistics
(23 pages, 2007)
132. R. Ewing, O. Iliev, R. Lazarov, I. Rybak,
J. Willems
An effcient approach for upscaling proper-
ties of composite materials with high con-
trast of coeffcients
Keywords: effective heat conductivity, permeability of
fractured porous media, numerical upscaling, fbrous
insulation materials, metal foams
(16 pages, 2008)
133. S. Gelareh, S. Nickel
New approaches to hub location problems
in public transport planning
Keywords: integer programming, hub location, trans-
portation, decomposition, heuristic
(25 pages, 2008)
134. G. Thmmes, J. Becker, M. Junk, A. K. Vai-
kuntam, D. Kehrwald, A. Klar, K. Steiner,
A. Wiegmann
A Lattice Boltzmann Method for immiscible
multiphase fow simulations using the Level
Set Method
Keywords: Lattice Boltzmann method, Level Set
method, free surface, multiphase fow
(28 pages, 2008)
135. J. Orlik
Homogenization in elasto-plasticity
Keywords: multiscale structures, asymptotic homogeni-
zation, nonlinear energy
(40 pages, 2008)
136. J. Almquist, H. Schmidt, P. Lang, J. Deitmer,
M. Jirstrand, D. Prtzel-Wolters, H. Becker
Determination of interaction between
MCT1 and CAII via a mathematical and
physiological approach
Keywords: mathematical modeling; model reduction;
electrophysiology; pH-sensitive microelectrodes; pro-
ton antenna
(20 pages, 2008)
137. E. Savenkov, H. Andr, O. Iliev
An analysis of one regularization approach
for solution of pure Neumann problem
Keywords: pure Neumann problem, elasticity, regular-
ization, fnite element method, condition number
(27 pages, 2008)
138. O. Berman, J. Kalcsics, D. Krass, S. Nickel
The ordered gradual covering location
problem on a network
Keywords: gradual covering, ordered median function,
network location
(32 pages, 2008)
139. S. Gelareh, S. Nickel
Multi-period public transport design: A
novel model and solution approaches
Keywords: Integer programming, hub location, public
transport, multi-period planning, heuristics
(31 pages, 2008)
140. T. Melo, S. Nickel, F. Saldanha-da-Gama
Network design decisions in supply chain
planning
Keywords: supply chain design, integer programming
models, location models, heuristics
(20 pages, 2008)
141. C. Lautensack, A. Srkk, J. Freitag,
K. Schladitz
Anisotropy analysis of pressed point pro-
cesses
Keywords: estimation of compression, isotropy test,
nearest neighbour distance, orientation analysis, polar
ice, Ripleys K function
(35 pages, 2008)
142. O. Iliev, R. Lazarov, J. Willems
A Graph-Laplacian approach for calculating
the effective thermal conductivity of com-
plicated fber geometries
Keywords: graph laplacian, effective heat conductivity,
numerical upscaling, fbrous materials
(14 pages, 2008)
143. J. Linn, T. Stephan, J. Carlsson, R. Bohlin
Fast simulation of quasistatic rod deforma-
tions for VR applications
Keywords: quasistatic deformations, geometrically
exact rod models, variational formulation, energy min-
imization, fnite differences, nonlinear conjugate gra-
dients
(7 pages, 2008)
144. J. Linn, T. Stephan
Simulation of quasistatic deformations us-
ing discrete rod models
Keywords: quasistatic deformations, geometrically
exact rod models, variational formulation, energy min-
imization, fnite differences, nonlinear conjugate gra-
dients
(9 pages, 2008)
145. J. Marburger, N. Marheineke, R. Pinnau
Adjoint based optimal control using mesh-
less discretizations
Keywords: Mesh-less methods, particle methods, Eul-
erian-Lagrangian formulation, optimization strategies,
adjoint method, hyperbolic equations
(14 pages, 2008
146. S. Desmettre, J. Gould, A. Szimayer
Own-company stockholding and work effort
preferences of an unconstrained executive
Keywords: optimal portfolio choice, executive compen-
sation
(33 pages, 2008)
147. M. Berger, M. schrder, K.-H. Kfer
A constraint programming approach for the
two-dimensional rectangular packing prob-
lem with orthogonal orientations
Keywords: rectangular packing, orthogonal orienta-
tions non-overlapping constraints, constraint propa-
gation
(13 pages, 2008)
148. K. Schladitz, C. Redenbach, T. Sych,
M. Godehardt
Microstructural characterisation of open
foams using 3d images
Keywords: virtual material design, image analysis, open
foams
(30 pages, 2008)
149. E. Fernndez, J. Kalcsics, S. Nickel,
R. Ros-Mercado
A novel territory design model arising in
the implementation of the WEEE-Directive
Keywords: heuristics, optimization, logistics, recycling
(28 pages, 2008)
150. H. Lang, J. Linn
Lagrangian feld theory in space-time for
geometrically exact Cosserat rods
Keywords: Cosserat rods, geometrically exact rods,
small strain, large deformation, deformable bodies,
Lagrangian feld theory, variational calculus
(19 pages, 2009)
151. K. Dreler, M. Speckert, R. Mller,
Ch. Weber
Customer loads correlation in truck engi-
neering
Keywords: Customer distribution, safety critical compo-
nents, quantile estimation, Monte-Carlo methods
(11 pages, 2009)
152. H. Lang, K. Dreler
An improved multiaxial stress-strain correc-
tion model for elastic FE postprocessing
Keywords: Jiangs model of elastoplasticity, stress-strain
correction, parameter identifcation, automatic differ-
entiation, least-squares optimization, Coleman-Li algo-
rithm
(6 pages, 2009)
153. J. Kalcsics, S. Nickel, M. Schrder
A generic geometric approach to territory
design and districting
Keywords: Territory design, districting, combinatorial
optimization, heuristics, computational geometry
(32 pages, 2009)
154. Th. Ftterer, A. Klar, R. Wegener
An energy conserving numerical scheme for
the dynamics of hyper elastic rods
Keywords: Cosserat rod, hyperealstic, energy conserva-
tion, fnite differences
(16 pages, 2009)
155. A. Wiegmann, L. Cheng, E. Glatt, O. Iliev,
S. Rief
Design of pleated flters by computer sim-
ulations
Keywords: Solid-gas separation, solid-liquid separation,
pleated flter, design, simulation
(21 pages, 2009)
156. A. Klar, N. Marheineke, R. Wegener
Hierarchy of mathematical models for pro-
duction processes of technical textiles
Keywords: Fiber-fuid interaction, slender-body theory,
turbulence modeling, model reduction, stochastic dif-
ferential equations, Fokker-Planck equation, asymptotic
expansions, parameter identifcation
(21 pages, 2009)
157. E. Glatt, S. Rief, A. Wiegmann, M. Knefel,
E. Wegenke
Structure and pressure drop of real and vir-
tual metal wire meshes
Keywords: metal wire mesh, structure simulation,
model calibration, CFD simulation, pressure loss
(7 pages, 2009)
158. S. Kruse, M. Mller
Pricing American call options under the as-
sumption of stochastic dividends An ap-
plication of the Korn-Rogers model
Keywords: option pricing, American options, dividends,
dividend discount model, Black-Scholes model
(22 pages, 2009)
Status quo: April 2009