cf_diff_solv_cns: Diffusion solver with Crank-Nicolson scheme

In pedroguarderas/CFINI: Computational finance routines

Diffusion solver with Crank-Nicolson scheme

Description

Solver for diffusion problems implemented with Crank-Nicolson scheme

Usage

cf_diff_solv_cns(theta, alpha, u0, u1, u2, t, x, is_initial)

Arguments

theta	Parameter for the Crank-Nicolson scheme
alpha	matrix discretization Diffusion parameter
u0	vector with discretization of the initial condition
u1	vector with discretization of the inferior boundary condition
u2	vector with discretization of the superior boundary condition
t	vector with discretization of the time grid
x	vector with discretization of the spatial grid
is_initial	specifies if the condition is final of initial

Value

List with solution parameters

Note

Diffusion solver for pricing options

Author(s)

Pedro Guarderas [e-mail]

pedroguarderas/CFINI documentation built on Feb. 16, 2024, 2:17 p.m.