Convergence analysis of Crank-Nicolson and Rannacher time-marching
This paper presents a convergence analysis of Crank-Nicolson and Rannacher time-marching methods which are often used in finite difference discretisations of the Black-Scholes equations. Particular attention is paid to the important role of Rannacher's startup procedure, in which one or more in...
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Unspecified
2005
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