No abstract

The interpolation method in a semi-Lagrangian scheme is decisive to its performance. Given the number of grid points one is considering to use for the interpolation, it does not necessarily follow that maximum formal accuracy should give the best results. For the advection equation, the driving force of this method is the method of the characteristics, which accounts for the flow of information in the model equation. This leads naturally to an interpolation problem since the foot point is not in general located on a grid point. We use another interpolation scheme that will allow achieving the high order for the box initial condition.

This paper describes a numerical solution for a two-point boundary value problem. It includes an algorithm for discretization by mixed finite element method. The discrete scheme allows the utilization a finite element method based on piecewise linear approximating functions and we also use the barycentric quadrature rule to compute the stiffness matrix and the L2-norm.

In this work the Adomian decomposition method (ADM) is used to solve the non-linear equation that represents the generalized model of Black-Scholes, that is to say that considers the volatility as a nonconstant function. The efficiency of this method is illustrated by investigating the convergence results for this type of models. The numerical results show the reliability and accuracy of the ADM.

We establish the conditions for the compute of the Global Truncation Error (GTE), stability restriction on the time step and we prove the consistency using forward Euler in time and a fourth order discretization in space for Heat Equation with smooth initial conditions and Dirichlet boundary conditions.