摘要：Non-smooth conditions in partial differentialequations cause discretization error in numerical schemes and lead to decay inthe convergence rate. Here the Ka-shifting method is introduced for easyhandling of uniform and nonuniform meshes and for one or more singularities in theterminal condition. Combining this method with Rannacher time stepping and meshgrading for the Crank-Nicolson Finite Difference Method on some examplesincluding call options, bet options and a butterfly spread is shown to lead tohigher accuracy and better convergence rate for the numerical solution.
