Crank-Nicolson time-marching.

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...

Podrobná bibliografie
Hlavní autor:	Giles, M
Médium:	Working paper
Jazyk:	English
Vydáno:	Oxford-Man Institute of Quantitative Finance 2008

Podobné jednotky

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An efficient method to solve the fuzzy Crank–Nicolson scheme with application to the groundwater flow problem
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The Crank–Nicolson finite element method for the 2D uniform transmission line equation
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An optimized finite difference Crank-Nicolson iterative scheme for the 2D Sobolev equation
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Solution of parabolic PDEs by modified quintic B-spline Crank-Nicolson collocation method
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A Crank-Nicolson finite volume element method for two-dimensional Sobolev equations
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Crank-Nicolson method for evaluation of solutions of partial differential equations of the heat conduction type /
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Vydáno: (2010)

Solving one dimensional burgers equation using crank-nicolson and cubic spline methods /
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Vydáno: (2013)

Corrigendum to “Fractional Crank-Nicolson-Galerkin Finite Element Methods for Nonlinear Time Fractional Parabolic Problems with Time Delay”
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Fast Crank-Nicolson compact difference scheme for the two-dimensional time-fractional mobile/immobile transport equation
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A Second-Order Crank-Nicolson-Type Scheme for Nonlinear Space–Time Reaction–Diffusion Equations on Time-Graded Meshes
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