Consider the Craig-Sneyd discretisation for three space variables. By performing the steps sequentially, show that the scheme

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Consider the Craig-Sneyd discretisation for three space variables. By performing the steps sequentially, show that the scheme is consistent (i.e. we do indeed recover a discretised form of the original PDE when we ignore higher order terms).

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Market Practice In Financial Modelling

ISBN: 9789814366540

1st Edition

Authors: Tan Chia Chiang

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Question Posted: Dec 23, 2023 05:36 AM

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Consider the Craig-Sneyd discretisation for three space variables. By performing the steps sequentially, show that the scheme

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Demonstrating Consistency of the CraigSneyd Discretisation for Three Space Variables The CraigSneyd ...View the full answer

Market Practice In Financial Modelling

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