In the present investigation, the fully implicit and Crank–Nicolson difference schemes for solving option prices are analyzed. It is proved that the error expansions for the difference methods have the correct form for applying Richardson extrapolation to increase the order of accuracy of the approximations. The difference methods are applied to European, American, and down-and-out knock-out ca...

A linear dispersive mechanism for error focusing in polychromatic solutions is identified. This local error pile-up corresponds to the existence of spurious caustics, which are allowed by the dispersive nature of the numerical error. ¿From the mathematical point of view, spurious caustics are related to extrema of the numerical group velocity. Several popular schemes are analyzed and are shown ...

In this paper, we present a new pressure-correction projection scheme for solving the time-dependent Navier-Stokes equations, which is based on the Crank-Nicolson extrapolation method in the time discretization. Error estimates for the velocity and the pressure of semidiscretized scheme are derived by interpreting the projection scheme as second-order time discretization of a perturbed system w...

In this work we generate the numerical solutions of the Burgers’ equation by applying the Crank-Nicolson method directly to the Burgers’ equation, i.e., we do not use Hopf-Cole transformation to reduce Burgers’ equation into the linear heat equation. Absolute error of the present method is compared to the absolute error of the two existing methods for two test problems. The method is also analy...

A semi-Lagrangian method is presented to price continuously observed fixed strike Asian options. At each timestep a set of one dimensional partial integral differential equations (PIDEs) is solved and the solution of each PIDE is updated using semi-Lagrangian timestepping. Crank-Nicolson and second order backward differencing timestepping schemes are studied. Monotonicity and stability results ...

This paper addresses the construction of absorbing boundary conditions for the one-dimensional Schrödinger equation with a general variable repulsive potential or with a cubic nonlinearity. Semi-discrete time schemes, based on Crank-Nicolson approximations, are built for the associated initial boundary value problems. Finally, some numerical simulations give a comparison of the various absorbin...

This project work report provides a full solution of simplified Navier Stokes equations for The Incompressible Couette Problem. The well known analytical solution to the problem of incompressible couette is compared with a numerical solution. In that paper, I will provide a full solution with simple C code instead of MatLab or Fortran codes, which are known. For discrete problem formulation, im...

Numerical methods for the primitive equations (PEs) of oceanic flow are presented in this paper. First, a two-dimensional Poisson equation with a suitable boundary condition is derived to solve the surface pressure. Consequently, we derive a new formulation of the PEs in which the surface pressure Poisson equation replaces the nonlocal incompressibility constraint, which is known to be inconven...

This paper is concerned with transparent boundary conditions for the one dimensional time–dependent Schrödinger equation. They are used to restrict the original PDE problem that is posed on an unbounded domain onto a finite interval in order to make this problem feasible for numerical simulations. The main focus of this article is on the appropriate discretization of such transparent boundary c...