Association schemes. I
Luboš Bauer (1981)
Archivum Mathematicum
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Luboš Bauer (1981)
Archivum Mathematicum
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Abstract and Applied Analysis
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Advances in Numerical Analysis
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Janenko, N. N.
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Serdica Mathematical Journal
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2000 Mathematics Subject Classification: 65M06, 65M12. The paper is devoted to pricing options characterized by discontinuities in the initial conditions of the respective Black-Scholes partial differential equation. Finite difference schemes are examined to highlight how discontinuities can generate numerical drawbacks such as spurious oscillations. We analyze the drawbacks of the Crank-Nicolson scheme that is most frequently used numerical method in Finance because of its...