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...

书目详细资料
主要作者:	Giles, M
格式:	Working paper
语言:	English
出版:	Oxford-Man Institute of Quantitative Finance 2008

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