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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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Volume:
2008OMI17
Series:
Working Papers
Publication date:
2008-01-01
URN:
uuid:06cd3a4b-1dff-4ef8-836c-3a01f7fc80fd
Local pid:
oai:economics.ouls.ox.ac.uk:13014
Language:
English

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