Abstract
In this chapter we extend the basic semidiscretizations introduced in Chapter 3 to the general convection-diffusion-reaction equation combined with the various boundary conditions from Chapter 2. We then discuss nonuniform spatial grids and consider the numerical treatment of nonsmooth initial functions, which are omnipresent in financial applications. The chapter concludes with a useful mixed central/upwind discretization.
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Notes
- 1.
More precisely phrased: nonnegativity preserving.
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in ’t Hout, K. (2017). Spatial Discretization II. In: Numerical Partial Differential Equations in Finance Explained. Financial Engineering Explained. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-43569-9_4
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DOI: https://doi.org/10.1057/978-1-137-43569-9_4
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