Numerical Analysis, Numerical Methods, Stability Test.
options with a large number of time steps. Stability tests for the trinomial method can also be done using the von Neumann stability analysis. The amplification factor is given by: A = 1 + 1/2 (ΔtσS)² − rΔtS+1/2 [(ΔtσS)²+2rΔtS]^1/2 The trinomial method is stable if A ≤ 1 for all possible values of