In this paper, we use the finite difference methods to explore step-down Equity Linked Securities (ELS) options under fractional Black-Scholes model. We establish Crank-Nicolson scheme one asset and study impact of Hurst exponent (H) on return repayment fixed stock price. also price different H. Through numerical experiments, it is found that related H, result will increase with case two assets...

Saul’yev-type asymmetric schemes have been widely used in solving diffusion and advection equations. In this work, we show that Saul’yev-type schemes can be derived from the exponential splitting of the semidiscretized equation which fundamentally explains their unconditional stability. Furthermore, we show that optimal schemes are obtained by forcing each scheme’s amplification factor to match...

This paper is concerned with transparent boundary conditions (TBCs) for wide angle “parabolic” equations (WAPEs) in underwater acoustics (assuming cylindrical symmetry). Existing discretizations of these TBCs introduce slight numerical reflections at this artificial boundary and also render the overall Crank–Nicolson finite difference method only conditionally stable. Here, a novel discrete TBC...

We consider a model initialand boundary-value problem for a third-order p.d.e., a wide-angle ‘parabolic’ equation frequently used in underwater acoustics, with depthand rangedependent coefficients in the presence of horizontal interfaces and dissipation. After commenting on the existence–uniqueness theory of solution of the equation, we discretize the problem by a secondorder finite difference ...

This paper provides an error analysis for the Crank–Nicolson extrapolation scheme of time discretization applied to the spatially discrete stabilized finite element approximation of the two-dimensional time-dependent Navier–Stokes problem, where the finite element space pair (Xh,Mh) for the approximation (uh, p n h) of the velocity u and the pressure p is constructed by the low-order finite ele...

Stochastic Petri nets have been extended for the modelling of hybrid systems by adding uid places, that are lled and emptied continuously at random (normally distributed) rate. The ow rates as well as the discrete transition rates may depend on the content a uid place holds. The dynamics of the model are described by second order partial diierential equations, that can be solved by using an imp...

We analyze the spatially semidiscrete piecewise linear finite element method for a nonlocal parabolic equation resulting from thermistor problem. Our approach is based on the properties of the elliptic projection defined by the bilinear form associated with the variational formulation of the finite element method. We assume minimal regularity of the exact solution that yields optimal order erro...

The numerical solution of a Rayleigh-Taylor instability problem where an inviscid liquid of finite depth is accelerated into a gas of semi-infinite extent is obtained by transforming the irregular flow domain into a rectangular domain by a coordinate transformation. The free surface equation is solved by a Crank-Nicolson procedure. The boundary condition at the free surface for the velocity pot...

A practical computational scheme based on time-dependent density functional theory TDDFT and ultrasoft pseudopotentials USPP is developed to study electron dynamics in real time. A modified Crank-Nicolson time-stepping algorithm is adopted, under plane-wave basis. The scheme is validated by calculating the optical absorption spectra for a sodium dimer and a benzene molecule. As an application o...