The impact of a natural time change on the convergence of the Crank-Nicolson scheme
From MaRDI portal
Publication:5495667
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
convergenceheat equationasymptoticsCrank-Nicolson schemetime changeAmerican optionnumerical resultBlack-ScholesEuropean option
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)
Related Items
Analysis of Quantization Error in Financial Pricing via Finite Difference Methods, Numerical Study of Splitting Methods for American Option Valuation, Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point, Operator splitting schemes for American options under the two-asset Merton jump-diffusion model, Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling, A Partial Fourier Transform Method for a Class of Hypoelliptic Kolmogorov Equations
