Publications

Last change: 02.02.2024 10:23.

by Goll, Christian; Rannacher, Rolf and Wollner, Winnifried

Reference:

Goll, Christian; Rannacher, Rolf and Wollner, Winnifried: "The Damped Crank-Nicolson Time-Marching Scheme for the Adaptive Solution of the Black-Scholes Equation", J. Comput. Finance, vol. 18, no. 4, pp. 1–37, 2015.

Bibtex Entry:

@Article{GollRannacherWollner:2015,
  Title                    = {The Damped {C}rank-{N}icolson Time-Marching Scheme for the Adaptive Solution of the {B}lack-{S}choles Equation},
  Author                   = {Christian Goll and Rolf Rannacher and Winnifried Wollner},
  Journal                  = {J. Comput. Finance},
  Year                     = {2015},
  Number                   = {4},
  Pages                    = {1--37},
  Volume                   = {18},
  Doi                      = {10.21314/JCF.2015.301},
}

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