A Comparative Study between Implicit and Crank-Nicolson Finite Difference Method for Option Pricing

A Closed-Form Solution for Two-Dimensional Diffusion Equation Using Crank-Nicolson Finite Difference Method

In this paper a finite difference method for solving 2-dimensional diffusion equation is presented. The method employs Crank-Nicolson scheme to improve finite difference formulation and its convergence and stability. The obtained solution will be a recursive formula in each step of which a system of linear equations should be solved. Given the specific form of obtained matrices, rather than sol...

Crank-nicolson Finite Difference Method for Solving Time-fractional Diffusion Equation

In this paper, we develop the Crank-Nicolson finite difference method (C-N-FDM) to solve the linear time-fractional diffusion equation, formulated with Caputo’s fractional derivative. Special attention is given to study the stability of the proposed method which is introduced by means of a recently proposed procedure akin to the standard Von-Neumann stable analysis. Some numerical examples are ...

Accurate Finite Difference Methods for Option Pricing

Alternating Group Explicit-Implicit Method And Crank-Nicolson Method For Convection-Diffusion Equation

Based on the concept of alternating group and domain decomposition, we present a class of alternating group explicit-implicit method and an alternating group Crank-Nicolson method for solving convection-diffusion equation. Both of the two methods are effective in convection dominant cases. The concept of the construction of the methods is also be applied to 2D convection-diffusion equations. Nu...

A New Implicit Finite Difference Method for Solving Time Fractional Diffusion Equation

In this paper, a time fractional diffusion equation on a finite domain is con- sidered. The time fractional diffusion equation is obtained from the standard diffusion equation by replacing the first order time derivative by a fractional derivative of order 0 < a< 1 (in the Riemann-Liovill or Caputo sence). In equation that we consider the time fractional derivative is in...