The impact of a natural time change on the convergence of the Crank-Nicolson scheme

DOI10.1093/imanum/drt029zbMath1295.65086arXiv1210.5487OpenAlexW1985543218MaRDI QIDQ5495667

Alan Whitley, Christoph Reisinger

Publication date: 6 August 2014

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5487

zbMATH Keywords

convergenceheat equationasymptoticsCrank-Nicolson schemetime changeAmerican optionnumerical resultBlack-ScholesEuropean option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Heat equation (35K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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