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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