The damped Crank-Nicolson time-marching scheme for the adaptive solution of the Black-Scholes equation
Gespeichert in:
| Hauptverfasser: | , , |
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| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
June 2015
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| In: |
The journal of computational finance
Year: 2015, Jahrgang: 18, Heft: 4, Pages: 1-37 |
| ISSN: | 1460-1559 |
| Schlagworte: | |
| Online-Zugang: |
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| Verfasserangaben: | Christian Goll, Rolf Rannacher and Winnifried Wollner |
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| 245 | 1 | 4 | |a The damped Crank-Nicolson time-marching scheme for the adaptive solution of the Black-Scholes equation |c Christian Goll, Rolf Rannacher and Winnifried Wollner |
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| 650 | 4 | |a space-time finite elements |7 (dpeaa)DE-206 | |
| 650 | 4 | |a damped Crank-Nicolson method |7 (dpeaa)DE-206 | |
| 650 | 4 | |a goal-oriented adaptivity |7 (dpeaa)DE-206 | |
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