Show that the leading local truncation error terms of the following Crank Nicolson scheme Perform the Taylor expansion at (jx, (n 1 2 )) v 1 V 0 (V 1 21 2 Vn 1 V AT 4 4x are 0 (AT, 4x) V j 1 Pn 1 j 1 Vn V 1 ( 2 ) ( V j 1 2 24x (V V ) 2V 1 V 1 j 4x j 1 Vn 1 j 1 Vn 1 24x...

To analyze the local truncation error of the CrankNicolson scheme lets perform a Taylor exp ...

Show that the leading local truncation error terms of the following Crank Nicolson scheme Perform the Taylor

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Show that the leading local truncation error terms of the following Crank– Nicolson scheme

Perform the Taylor expansion at (jΔx, (n + 1/2 )Δτ).

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 05, 2023 01:13 AM

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Show that the leading local truncation error terms of the following Crank Nicolson scheme Perform the Taylor

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v"+1 - V₁² _ 0² (V²+1 - 21-²2 Vn+1 V" - AT 4 4x² are 0 (AT², 4x²). + V j-1 + Pn+1 j+1 Vn - V" + 1² ( ₁ - 2/² ) ( ² ² + ₁ - V₁ - j-1 2 24x - (V+V+¹) + - 2V²+1 + V²+1 j 4x² j-1 Vn+1 j+1 - Vn+1 24x

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Mathematical Models Of Financial Derivative

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