Convergence analysis of Crank-Nicolson and Rannacher time-marching

By M. Giles, Rebecca Carter. 2006

138 citations recorded by the source corpus.

Subfields: Applied Mathematics, Computational Theory and Mathematics, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/009a3a225ad47e917597144607ff4fc87a1315e2

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In Numerical Analysis

1. Abdul Khaliq
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Citations in the corpus

• Adaptive θ-methods for pricing American options (2008, result): “13) describing the time-step constraint is in agreement with findings in the literature for avoiding spurious oscillations in the Crank–Nicolson method (see, for example, [9,11,17,24,26]).”
• An iterative method for pricing American options under jump-diffusion models (2011, unknown): “We use the Rannacher scheme [20] for time-discretization; see [11] for convergence analysis.”