Consider the PDE: fxx + .2ft = 0, With the boundary condition f(x, 1) = max[x
Question:
fxx + .2ft = 0,
With the boundary condition
f(x, 1) = max[x – 6, 0].
Let
0 ≤ x ≤ 12
And
0 ≤ t ≤ 1.
(a) Is the single boundary condition sufficient for calculating a numerical approximation to f(x, t)?
(b) Impose additional boundary conditions of your choice on f(0, t) and f (12, t).
(c) Choose grid sizes of ∆x = 3 and ∆t = .25 and calculate a numerical approximation to f(x, t) under the boundary conditions you have imposed.
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The PDE is the heat equation f xx 2f t 0 with boundary condition fx 1 maxx 6 0 for 0 x 12 and 0 t 1 The boundary condition is for a European call opti...View the full answer
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Related Book For
An Introduction to the Mathematics of financial Derivatives
ISBN: 978-0123846822
2nd Edition
Authors: Salih N. Neftci
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