O'Sullivan, Stephen; O'Sullivan, Conall - In: Quantitative Finance 11 (2011) 8, pp. 1177-1191
Implicit finite difference methods are conventionally preferred over their explicit counterparts for the numerical valuation of options. In large part the reason for this is a severe stability constraint known as the Courant-Friedrichs-Lewy (CFL) condition which limits the latter class's...