The impact of a natural time change on the convergence of the Crank-Nicolson scheme (Q5495667)
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scientific article; zbMATH DE number 6325552
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The impact of a natural time change on the convergence of the Crank-Nicolson scheme |
scientific article; zbMATH DE number 6325552 |
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The impact of a natural time change on the convergence of the Crank-Nicolson scheme (English)
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6 August 2014
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heat equation
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Crank-Nicolson scheme
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convergence
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Black-Scholes
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European option
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American option
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asymptotics
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time change
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numerical result
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