Crank Nicolson
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Recent papers in Crank Nicolson
Natural convection effects of the numerical solution for unsteady, laminar, free convection flow over an incompressible viscous fluid past a no n-isothermal vertical cone with surface temperature T ' w(x) = T ' ∞ + ax n varying as... more
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... more
In this paper a thick hollow cylinder with finite length made of two dimensional functionally graded material (2D-FGM) subjected to transient thermal boundary conditions is considered. The volume fraction distribution of materials,... more
... For example, a finite difference method is used in [2], [15], [16], [24], a finite element method is considered in [28], and a finite volume method in [10]. The Black-Scholes partial differential equation contains variable... more
We propose a general framework for efficient pricing via a partial differential equation (PDE) approach for exotic cross-currency interest rate (IR) derivatives, with strong emphasis on long-dated foreign exchange (FX) IR hybrids, namely... more
The paper is devoted to pricing options characterized by discontinuities in the terminal condition. Finite dierence schemes are examined to highlight how discontinuities can generate numerical drawbacks such as spurious oscillations. We... more
In this paper a thick hollow cylinder with finite length made of two dimensional functionally graded material (2D-FGM) subjected to transient thermal boundary conditions is considered. The volume fraction distribution of materials,... more
In this work we improve the algorithm of Han and Wu [SIAM J. Numer. Anal. 41 (2003), 2081–2095] for American Options with respect to stability, accuracy and order of computational effort. We derive an exact discrete artificial boundary... more
Abstract. We investigate the stability of a fully-implicit, linearly extrapolated Crank-Nicolson (CNLE) time-stepping scheme for finite element spatial discretization of the Navier-Stokes equations. Although presented in 1976 by Baker and... more
The paper is devoted to pricing options characterized by discontinuities in the terminal condition. Finite dierence schemes are examined to highlight how discontinuities can generate numerical drawbacks such as spurious oscillations. We... more