With time step , the theta scheme is . It is the explicit scheme (forward Euler) for , the implicit scheme (backward Euler) for and the Crank–Nicolson scheme (Crank and Nicolson, 1947) for ; its time error is except at , where it is .
Quantitative Finance · Glossaire
Qu'est-ce que « Explicit, implicit, theta and Crank–Nicolson schemes » ?
Aussi appelé : theta scheme · explicit scheme · implicit scheme · Crank--Nicolson scheme