The higher-order numerical scheme of nonlinear advection-diffusion equations is studied in this article, where the space fractional derivatives are evaluated by using weighted and shifted Grünwald difference operator...
Large calculation error can be formed by directly employing the conventional Yee’s grid to curve surfaces.In order to alleviate such condition,unconditionally stable CrankNicolson Douglas-Gunn(CNDG)algorithm with is ...
supported by the National Natural Science Foundation of China(Nos.11971354,and 11701221);the Special Basic Cooperative Research Programs of Yunnan Provincial Undergraduate Universities’Association(No.2019FH001-079);the Fundamental Research Funds for the Central Universities(No.22120210555).
In this paper,we construct and analyze a Crank-Nicolson fitted finite volume scheme for pricing European options under regime-switching Kou’s jumpdiffusion model which is governed by a system of partial integro-diffe...