scholarly journals An Explicit Stabilized Runge–Kutta–Legendre Super Time-Stepping Scheme for the Richards Equation

2021 ◽  
Vol 2021 ◽  
pp. 1-11
Author(s):  
Ramesh Chandra Timsina ◽  
Harihar Khanal ◽  
Kedar Nath Uprety
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Difference Method ◽  
Richards Equation ◽  
One Dimensional ◽  
Time Stepping ◽  
Runge Kutta ◽  
Crank Nicolson

We solve one-dimensional Kirchhof transformed Richards equation numerically using finite difference method with various time-stepping schemes, forward in time central in space (FTCS), backward in time central in space (BTCS), Crank–Nicolson (CN), and a stabilized Runge–Kutta–Legendre super time-stepping (RKL), and compare their performances.

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

2020 ◽  
Vol 40 (1) ◽  
pp. 13-27
Author(s):  
Tanmoy Kumar Debnath ◽  
ABM Shahadat Hossain
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Option Pricing ◽  
Difference Method ◽  
Finite Difference Methods ◽  
Put Option ◽  
Black Scholes ◽  
Implicit Finite Difference ◽  
Difference Methods ◽  
Crank Nicolson

In this paper, we have applied the finite difference methods (FDMs) for the valuation of European put option (EPO). We have mainly focused the application of Implicit finite difference method (IFDM) and Crank-Nicolson finite difference method (CNFDM) for option pricing. Both these techniques are used to discretized Black-Scholes (BS) partial differential equation (PDE). We have also compared the convergence of the IFDM and CNFDM to the analytic BS price of the option. This turns out a conclusion that both these techniques are fairly fruitful and excellent for option pricing. GANIT J. Bangladesh Math. Soc.Vol. 40 (2020) 13-27

scholarly journals Discontinuity Capture in One-Dimensional Space Using the Numerical Manifold Method with High-Order Legendre Polynomials

2020 ◽  
Vol 10 (24) ◽  
pp. 9123
Author(s):  
Yan Zeng ◽  
Hong Zheng ◽  
Chunguang Li
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Finite Volume Method ◽  
Difference Method ◽  
Legendre Polynomials ◽  
Dimensional Space ◽  
Numerical Manifold Method ◽  
One Dimensional ◽  
Numerical Manifold ◽  
Volume Method

Traditional methods such as the finite difference method, the finite element method, and the finite volume method are all based on continuous interpolation. In general, if discontinuity occurred, the calculation result would show low accuracy and poor stability. In this paper, the numerical manifold method is used to capture numerical discontinuities, in a one-dimensional space. It is verified that the high-degree Legendre polynomials can be selected as the local approximation without leading to linear dependency, a notorious “nail” issue in Numerical Manifold Method. A series of numerical tests are carried out to evaluate the performance of the proposed method, suggesting that the accuracy by the numerical manifold method is higher than that by the later finite difference method and finite volume method using the same number of unknowns.

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