APPENDIX C
Expanding the von Neumann Stability Mode for the Discretized Black-Scholes Equation
From section 9.3.2 Gaussian Kurtosis (and Skew = 0), Faster Convergence, the von Neumann stability mode Ci,j = ζ
eikx is
Then using only the up and down probabilities,
Next, expanding in powers of Δx,
which, in turn, leads to
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