Sharp error estimates for discretizations of the 1D convection–diffusion equation with Dirac initial data (Q3437239)

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Sharp error estimates for discretizations of the 1D convection–diffusion equation with Dirac initial data
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    Sharp error estimates for discretizations of the 1D convection–diffusion equation with Dirac initial data (English)
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    14 May 2007
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    convection-diffusion equation
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    Crank-Nicolson time marching
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    Rannacher startup
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    Dirac initial data
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    error bounds
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    convergence
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    mathematical finance
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    Black-Scholes equation
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    numerical results
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