Crank-Nicolson time-marching.
This entry describes the Crank-Nicolson time-marching discretisation and its numerical properties. It also presents the Rannacher startup procedure which is required to achieve second order accuracy for the option value and its first and second derivatives, and discusses extensions to nonlinear and...
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| Format: | Working paper |
| Język: | English |
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Oxford-Man Institute of Quantitative Finance
2008
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| _version_ | 1826257715269206016 |
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| author | Giles, M |
| author_facet | Giles, M |
| author_sort | Giles, M |
| collection | OXFORD |
| description | This entry describes the Crank-Nicolson time-marching discretisation and its numerical properties. It also presents the Rannacher startup procedure which is required to achieve second order accuracy for the option value and its first and second derivatives, and discusses extensions to nonlinear and multi-factor applications. |
| first_indexed | 2024-03-06T18:22:33Z |
| format | Working paper |
| id | oxford-uuid:06cd3a4b-1dff-4ef8-836c-3a01f7fc80fd |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T18:22:33Z |
| publishDate | 2008 |
| publisher | Oxford-Man Institute of Quantitative Finance |
| record_format | dspace |
| spelling | oxford-uuid:06cd3a4b-1dff-4ef8-836c-3a01f7fc80fd2022-03-26T09:04:16ZCrank-Nicolson time-marching.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:06cd3a4b-1dff-4ef8-836c-3a01f7fc80fdEnglishDepartment of Economics - ePrintsOxford-Man Institute of Quantitative Finance2008Giles, MThis entry describes the Crank-Nicolson time-marching discretisation and its numerical properties. It also presents the Rannacher startup procedure which is required to achieve second order accuracy for the option value and its first and second derivatives, and discusses extensions to nonlinear and multi-factor applications. |
| spellingShingle | Giles, M Crank-Nicolson time-marching. |
| title | Crank-Nicolson time-marching. |
| title_full | Crank-Nicolson time-marching. |
| title_fullStr | Crank-Nicolson time-marching. |
| title_full_unstemmed | Crank-Nicolson time-marching. |
| title_short | Crank-Nicolson time-marching. |
| title_sort | crank nicolson time marching |
| work_keys_str_mv | AT gilesm cranknicolsontimemarching |