This paper presents the Runge–Kutta–Legendre (RKL) finite difference scheme, allowing for an additional shift in its polynomial representation. A short presentation of stability region, comparatively to Runge–Kutta–Chebyshev scheme follows. We then explore problem pricing American options with RKL under one factor Black–Scholes and two Heston stochastic volatility models, as well butterfly spre...

the transport of dissolved contaminants in groundwater is usually described by the advectiondispersion equation with reaction. several numerical methods for solving the one-dimensional are availableincluding finite difference methods, finite volume methods, and finite element methods. stringent conditions,such as small peclet (pe) and courant (cr) numbers, must be satisfied to ensure the accura...

Up to an arbitrary order of the Chapman–Enskog expansion of the kinetic Bhatnagar– Gross–Krook (BGK) equation, a corresponding analytic solution can be obtained. Based on such a compact exact solution, a new gas-kinetic scheme is constructed for the compressible Navier–Stokes equations. Instead of using a discontinuous initial condition in the gas-kinetic BGK–NS method Xu [K. Xu, A gas-kinetic ...

The discontinuous Galerkin (DG) or local discontinuous Galerkin (LDG) method is a spatial discretization procedure for convection-diffusion equations, which employs useful features from high resolution finite volume schemes, such as the exact or approximate Riemann solvers serving as numerical fluxes and limiters. The LaxWendroff time discretization procedure is an alternative method for time d...

A conservative three-level linear finite difference scheme for the numerical solution of the initial-boundary value problem of Rosenau-KdV equation is proposed.The difference scheme simulates two conservative quantities of the problemwell.The existence and uniqueness of the difference solution are proved. It is shown that the finite difference scheme is of second-order convergence and unconditi...

A sequential implicit numerical scheme is proposed for a system of partial differential equations defining the transport of heat and mass in the channel flow of a variable-viscosity fluid. By adopting the backward difference scheme for time derivative and the central difference scheme for the spatial derivatives, an implicit finite difference scheme is formulated. The variable-coefficient diffu...

Article history: Received 27 June 2013 Received in revised form 22 January 2014 Accepted 25 March 2014 Available online 2 April 2014