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...

Полное описание

Библиографические подробности
Главные авторы: Giles, M, Carter, R
Формат: Report
Опубликовано: Unspecified 2005