Abstract
The Fourier method, the second-order finite-difference method, and a fourth-order implicit finite-difference method have been tested using analytical phase and group velocity calculations, homogeneous velocity model calculations for disperson analysis, two-dimensional layered-interface calculations, comparisons with the Cagniard-de Hoop method, and calculations for a laterally heterogeneous model. Group velocity rather than phase velocity dispersion calculations are shown to be a more useful aid in predicting the frequency-dependent travel-time errors resulting from grid dispersion, and in establishing criteria for estimating equivalent accuracy between discrete grid methods. Comparison of the Fourier method with the Cagniard-de Hoop method showed that the Fourier method produced accurate seismic traces for a planar interface model even when a relatively coarse grid calculation was used. Computations using an IBM 3083 showed that Fourier method calculations using fourth-order time derivatives can be performed using as little as one-fourth the CPU time of an equivalent second-order finite-difference calculation. The Fourier method required a factor of 20 less computer storage than the equivalent second-order finite-difference calculation. The fourth-order finite-difference method required two-thirds the CPU time and a factor of 4 less computer storage than the second-order calculation. For comparison purposes, equivalent runs were determined by allowing a group velocity error tolerance of 2.5 per cent numerical dispersion for the maximum seismic frequency in each calculation. The Fourier method was also applied to a laterally heterogeneous model consisting of random velocity variations in the lower half-space. Seismograms for the random velocity model resulted in anticipated variations in amplitude with distance, particularly for refracted phases.
A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
