Convergence analysis of Crank–Nicolson and Rannacher time-marching
Convergence analysis of Crank–Nicolson and Rannacher time-marching
This paper presents a convergence analysis of Crank–Nicolson and Rannacher time-marching methods which are often used in finite difference discretizations of the Black–Scholes equations. Particular attention is paid to the important role of Rannacher's startup procedure, in which one or more initial timesteps use backward Euler timestepping, to achieve second-order …