منابع مشابه
Extrapolation of difference methods in option valuation
In the present investigation, the fully implicit and Crank–Nicolson difference schemes for solving option prices are analyzed. It is proved that the error expansions for the difference methods have the correct form for applying Richardson extrapolation to increase the order of accuracy of the approximations. The difference methods are applied to European, American, and down-and-out knock-out ca...
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ژورنال
عنوان ژورنال: International Journal of Economics and Finance
سال: 2018
ISSN: 1916-9728,1916-971X
DOI: 10.5539/ijef.v10n5p1