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...
| Autores principales: | , |
|---|---|
| Formato: | Report |
| Publicado: |
Unspecified
2005
|