Working paper
Crank-Nicolson time-marching.
- Abstract:
- 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 multi-factor applications.
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- Files:
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(Preview, pdf, 104.3KB, Terms of use)
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Authors
- Publisher:
- Oxford-Man Institute of Quantitative Finance
- Series:
- Working Papers
- Publication date:
- 2008-01-01
- Language:
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English
- UUID:
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uuid:06cd3a4b-1dff-4ef8-836c-3a01f7fc80fd
- Local pid:
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oai:economics.ouls.ox.ac.uk:13014
- Deposit date:
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2011-08-16
- ARK identifier:
Terms of use
- Copyright date:
- 2008
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