Spatial Discretization II

  • Karel in ’t Hout
Chapter
First Online:
Part of the Financial Engineering Explained book series (FEX)

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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Copyright information

© The Author(s) 2017

Authors and Affiliations

  • Karel in ’t Hout
    • 1
  1. 1.Department of Mathematics and Computer ScienceUniversity of AntwerpAntwerpBelgium

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