Κ∝-Shifting, Rannacher Time Stepping and Mesh Grading in Crank-Nicolson FDM forBlack-Scholes Option Pricing

Κ_∝-Shifting, Rannacher Time Stepping and Mesh Grading in Crank-Nicolson FDM forBlack-Scholes Option Pricing

Sima Mashayekhi, Jens Hugger

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Originalsprog	Engelsk
Tidsskrift	Communications in Mathematical Finance
Vol/bind	5
Udgave nummer	1
Sider (fra-til)	1-31
ISSN	2241-1968
Status	Udgivet - 2016

@article{0704ef1d5fda4c348bee10b770e0b042,

title = "Κ∝-Shifting, Rannacher Time Stepping and Mesh Grading in Crank-Nicolson FDM forBlack-Scholes Option Pricing",

author = "Sima Mashayekhi and Jens Hugger",

year = "2016",

language = "English",

volume = "5",

pages = "1--31",

journal = "Communications in Mathematical Finance",

issn = "2241-1968",

number = "1",

}