Finite-Difference Methods

You-lan Zhu, Xiaonan Wu, I-Liang Chern and Zhi-zhong Sun
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You-lan Zhu: University of North Carolina
Xiaonan Wu: Hong Kong Baptist University
I-Liang Chern: National Taiwan University
Zhi-zhong Sun: Southeast University

Chapter 7 in Derivative Securities and Difference Methods, 2013, pp 391-444 from Springer

Abstract: Abstract In this chapter, we deal with finite-difference methods for parabolic partial differential equations, including algorithms, stability and convergence analysis, and extrapolation techniques of numerical solutions.

Keywords: Approximate Solution; Difference Scheme; Truncation Error; Explicit Scheme; Extrapolation Technique (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/978-1-4614-7306-0_7

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