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Convergence analysis of Crank–Nicolson and Rannacher time-marching

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References

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2007Exponential time integration and Chebychev discretisation schemes for fast pricing of options53 cited
2009Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility43 cited
2018A multiquadric quasi-interpolations method for CEV option pricing model

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2007Pricing exotic options with L-stable Padé schemes39 cited

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2015Calibrating and Pricing with a Stochastic-Local Volatility Model28 cited

2013Iterative Methods for Pricing American Options under the Bates Model25 cited

2013Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme25 cited