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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Authors
Bibliographic Details
- Publisher:
- Oxford-Man Institute of Quantitative Finance
- Series:
- Working Papers
- Publication date:
- 2008-01-01
Item Description
- Language:
- English
- UUID:
-
uuid:06cd3a4b-1dff-4ef8-836c-3a01f7fc80fd
- Local pid:
- oai:economics.ouls.ox.ac.uk:13014
- Deposit date:
- 2011-08-16
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Terms of use
- Copyright date:
- 2008
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