3D Fourier finite-difference migration by alternating-direction-implicit plus interpolation

An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options

We propose a fast and stable numerical method to evaluate two-dimensional partial differential equation (PDE) for pricing arithmetic average Asian options. The numerical method is deduced by combining an alternating-direction technique and the central difference scheme on a piecewise uniform mesh. The numerical scheme is stable in the maximum norm, which is true for arbitrary volatility and arb...

Implicit Alternating Direction Methods

in general plane regions and with respect to linear boundary conditions, is a classical problem of numerical analysis. Many such boundary value problems have been solved successfully on high-speed computing machines, using the (iterative) Young-Frankel "successive overrelaxation" (SOR) method as defined in [l] and [2], and variants thereof ("line" and "block" overrelaxation). For this method, e...

Pentadiagonal alternating-direction-implicit finite-difference time-domain method for two-dimensional Schrödinger equation

In this paper, we have proposed a pentadiagonal alternating-direction-implicit (Penta-ADI) finite-difference time-domain (FDTD) method for the two-dimensional Schrödinger equation. Through the separation of complex wave function into real and imaginary parts, a pentadiagonal system of equations for the ADI method is obtained, which results in our Penta-ADI method. The Penta-ADI method is furthe...

An Alternating Direction Implicit Method for Modeling of Fluid Flow

This research includes of the numerical modeling of fluids in two-dimensional cavity. The cavity flow is an important theoretical problem. In this research, modeling was carried out based on an alternating direction implicit via Vorticity-Stream function formulation. It evaluates different Reynolds numbers and grid sizes. Therefore, for the flow field analysis and prove of the ability of the sc...

Solving Two-Dimensional Fuzzy Partial Dierential Equation by the Alternating Direction Implicit Method