Computational Finance
نویسنده
چکیده
Tasks. Implement the implicit finite difference scheme (i.e., backward Euler scheme) and the Crank-Nicolson scheme and compute the option prices in this way. Moreover, study the empirical convergence rates. You need to choose the following numerical parameters: • The truncation values for the infinite domain xmin < 0 < xmax. To simplify the analysis, you should use the same values for all the runs of the code (i.e., for all the values of ∆τ and h to be discussed below). Hence, xmin and xmax must be sufficiently far from 0 so that the observed errors are not significantly influenced by the truncation of the domain.
منابع مشابه
The Event Calculus on High-frequency Finance
Edward Tsang has a first degree in Business Administration (Major in Finance) and a PhD in Computer Science. He has broad interest in applied artificial intelligence, in particularly computational finance, heuristic search, constraint satisfaction and scheduling. He is currently a professor in computer science at the University of Essex where he leads the Computational Finance Group and Constra...
متن کاملApplied Computational Intelligence for Finance and Economics
This article introduces some relevant research works on computational intelligence applied to finance and economics. The objective is to offer an appropriate context and a starting point for those who are new to computational intelligence in finance and economics and to give an overview of the most recent works. A classification with five different main areas is presented. Those areas are relat...
متن کاملSpecial issue on computational finance
Many of the papers in this special issue were initially presented at the 2nd International Workshop on Parallel and Distributed Computing in Finance (PDCoF) held in conjunction with The 23rd International Parallel and Distributed Processing Symposium (IPDPS). The papers were significantly revised, extended for consideration in this special issue. The purpose of this special issue is to bring to...
متن کامل