The damped Crank-Nicolson time-marching scheme for the adaptive solution of the Black-Scholes equation
Christian Goll, Rolf Rannacher and Winnifried Wollner
| Year of publication: |
June 2015
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|---|---|
| Authors: | Goll, Christian ; Rannacher, Rolf ; Wollner, Winnifried |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 18.2015, 4, p. 1-37
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| Subject: | Black-Scholes equation | space-time finite elements | damped Crank-Nicolson method | goal-oriented adaptivity | DWR method | adjoint consistent | Theorie | Theory | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011441255