The damped Crank–Nicolson time-marching scheme for the adaptive solution of the Black–Scholes equation

2015 ◽  
Vol 18 (4) ◽  
pp. 1-37 ◽  
Author(s):  
Christian Goll ◽  
Wolf Rannacher ◽  
Winnifried Woolner
Keyword(s):  
Black Scholes ◽  
Adaptive Solution ◽  
Time Marching ◽  
Marching Scheme ◽  
Crank Nicolson

scholarly journals Modeling Transient Flows in Heterogeneous Layered Porous Media Using the Space–Time Trefftz Method

2021 ◽  
Vol 11 (8) ◽  
pp. 3421
Author(s):  
Cheng-Yu Ku ◽  
Li-Dan Hong ◽  
Chih-Yu Liu ◽  
Jing-En Xiao ◽  
Wei-Po Huang
Keyword(s):  
Porous Media ◽  
Time Domain ◽  
Numerical Solutions ◽  
Space Time ◽  
Two Dimensional ◽  
Transient Flows ◽  
Layered Porous Media ◽  
Time Marching ◽  
Time Basis ◽  
Marching Scheme

In this study, we developed a novel boundary-type meshless approach for dealing with two-dimensional transient flows in heterogeneous layered porous media. The novelty of the proposed method is that we derived the Trefftz space–time basis function for the two-dimensional diffusion equation in layered porous media in the space–time domain. The continuity conditions at the interface of the subdomains were satisfied in terms of the domain decomposition method. Numerical solutions were approximated based on the superposition principle utilizing the space–time basis functions of the governing equation. Using the space–time collocation scheme, the numerical solutions of the problem were solved with boundary and initial data assigned on the space–time boundaries, which combined spatial and temporal discretizations in the space–time manifold. Accordingly, the transient flows through the heterogeneous layered porous media in the space–time domain could be solved without using a time-marching scheme. Numerical examples and a convergence analysis were carried out to validate the accuracy and the stability of the method. The results illustrate that an excellent agreement with the analytical solution was obtained. Additionally, the proposed method was relatively simple because we only needed to deal with the boundary data, even for the problems in the heterogeneous layered porous media. Finally, when compared with the conventional time-marching scheme, highly accurate solutions were obtained and the error accumulation from the time-marching scheme was avoided.

Symmetric Thermo-Electro-Elastic Response of Piezoelectric Hollow Cylinder Under Thermal Shock Using Lord–Shulman Theory

2020 ◽  
Vol 20 (05) ◽  
pp. 2050059
Author(s):  
S. M. H. Jani ◽  
Y. Kiani
Keyword(s):  
Thermal Shock ◽  
Differential Quadrature Method ◽  
Elastic Response ◽  
Governing Equations ◽  
Coupled Equations ◽  
Piezoelectric Hollow Cylinder ◽  
Time Marching ◽  
Generalized Differential ◽  
Lord And Shulman Theory ◽  
Marching Scheme

The response of a long hollow cylindrical vessel made from a piezoelectric material is considered in the present investigation. The piezoelectric vessel is subjected to a thermal shock on one surface. The generalized piezo-thermo-elasticity formulation of Lord and Shulman is adopted which contains a single relaxation time to consider the finite speed of temperature wave propagation. The response of the cylinder is assumed to be axi-symmetric. Three coupled equations are established as the governing equations, which are the equation of motion, the energy equation and the Maxwell equation. These equations are transformed into the dimensionless ones. With the aid of the generalized differential quadrature method, these equations are discretized in the radial direction. After that, with the aid of the Newmark time marching scheme, the temporal evolutions of the thermo-electro-elastic parameters are obtained. Novel numerical results are presented to obtain the response of the cylinder subjected to a thermal shock using the Lord and Shulman theory of thermoelasticity.

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 Inconsistent Stability of Newmark's Method in Structural Dynamics Applications

2015 ◽  
Vol 10 (5) ◽  
Author(s):  
Richard Wiebe ◽  
Ilinca Stanciulescu
Keyword(s):  
Structural Dynamics ◽  
Finite Element Models ◽  
Interesting Phenomenon ◽  
Physical Systems ◽  
Stiffness Matrices ◽  
Time Integrators ◽  
Direct Interpretation ◽  
Time Marching ◽  
The Stability ◽  
Marching Scheme

The stability of numerical time integrators, and of the physical systems to which they are applied, are normally studied independently. This conceals a very interesting phenomenon, here termed inconsistent stability, wherein a numerical time marching scheme predicts a stable response about an equilibrium configuration that is, in fact, unstable. In this paper, time integrator parameters leading to possible inconsistent stability are first found analytically for conservative systems (symmetric tangent stiffness matrices), then several structural arches with increasing complexity are used as numerical case studies. The intention of this work is to highlight the potential for this unexpected, and mostly unknown, behavior to researchers studying complex dynamical systems, especially through time marching of finite element models. To allow for direct interpretation of our results, the work is focused on the Newmark time integrator, which is commonly used in structural dynamics.

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