Prove that the order of convergence of the Crank-Nicolson finite difference method is [Oleft(Delta x^{2}+left(frac{Delta t}{2} ight)^{2}

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Prove that the order of convergence of the Crank-Nicolson finite difference method is

\[O\left(\Delta x^{2}+\left(\frac{\Delta t}{2}\right)^{2}\right)\]

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Quantitative Finance

ISBN: 9781118629956

1st Edition

Authors: Maria Cristina Mariani, Ionut Florescu

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Question Posted: Apr 20, 2024 05:57 AM

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Prove that the order of convergence of the Crank-Nicolson finite difference method is [Oleft(Delta x^{2}+left(frac{Delta t}{2} ight)^{2}

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Quantitative Finance

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