cf_diff_solv_euls: Diffusion solver with implicit Euler scheme

In pedroguarderas/CFINI: Computational finance routines

Diffusion solver with implicit Euler scheme

Description

Solver for diffusion problems implemented using the Euler implicit scheme

Usage

cf_diff_solv_euls(alpha, u0, u1, u2, t, x, is_initial)

Arguments

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.