A linearized Crank-Nicolson method for such problem is proposed by combing the Crank-Nicolson approximation in time with the fractional centered difference formula in space. Using the discrete energy method, the suggested scheme is proved to be uniquely solvable, stable and convergent with second ...
Crank-Nicolson有限差分法对欧式障碍期权定价,以欧式看跌期权为例,运用Matlab编程, 将所得两个结果与基于公式解的结果进行比较,结果表明Crank-Nicolson有限差分法比 Monte-Carlo方法更优。 关键词:Monte-Carlo;障碍期权;有限差分方法;欧式看跌期权 中图分类号:F832.51 ...
The Crank–Nicolson method is used for time discretization, and the fourth-order quasicompact technique is used for space direction. Theoretically, the derived numerical schemes can achieve second-order accuracy in time direction and fourth-order accuracy in space direction under certain constraints of...
In this article, we mainly resort to a proper orthogonal decomposition (POD) method to reduce the dimensionality of unknown mixed finite element (MFE) solution coefficient vectors in the two-grid Crank-Nicolson MFE (TGCNMFE) method for the fourth-order extended Fisher-Kolmogorov (FOEFK) equation...
The smoothing strategy for the Crank–Nicolson method for barrier options presented here to solve one and two-asset double barrier options achieves second order convergence. We have demonstrated with time evolution graphs computational performance for the one asset problem. Although the Crank–Nicolson ...
82 、In this paper, the Crank?Nicolson type finite difference method is applied to the Benjamin?Bona?Mahony equation. We obtain the existence and uniqueness of the numerical solutions.───使用Crank Nicolson有限差分方法来离散Benjamin Bona Mahony方程,得到其数值解的存在性和唯一性. 83 、Crank: Powe...
The trapezoidal steps are helper values for the BDF2 method and are ghosts on the final grid. I have satisfied all of the main method requirements, which include preprocessing half the grid with Crank-Nicolson, assembling the second-order backward method with the preprocessed grid, and ...
Based upon the approximate Crank–Nicolson (CN) finite-difference time-domain method implementation, the unconditionally stable algorithm is proposed to investigate the wave propagation and transmission through extremely thin graphene layers. More precisely, by incorporating the CN Douglas–Gunn algorithm, ...
Moreover, the robustness of the scheme is confirmed by conducting various numerical tests using the Crank-Nicolson method on different cases of solitons to discuss the effects of the factor considered on solitons properties and on conserved quantities.Findings The Crank-Nicolson scheme has been ...
One technique is based on the second-order backward differentiation formula (BDF2), and the other, called Crank–Nicolson, is based on the midpoint quadrature rule. Since the BDF2 method is atwo-step scheme, it is not well suited to time step adaptation. Moreover, the stability analysis ...