Richardson’s Extrapolation

19 Março 2021, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves

Richardson’s Extrapolation: Exercises.

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Richardson’s Extrapolation

17 Março 2021, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

Richardson’s Extrapolation: General statement of the problem; Generating the extrapolation formula; The case of even powers of h.

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First test

12 Março 2021, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves

First test.

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F-D schemes for American options

10 Março 2021, 12:00 • Fernando Manuel Rodrigues Ferreira Gonçalves

F-D schemes for American options: The problem to be approximated; Space-time discretisation; Convergence; Algorithm.

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F-D schemes for European options

5 Março 2021, 11:30 • Fernando Manuel Rodrigues Ferreira Gonçalves

F-D schemes for European options: The problem to be approximated; Localisation error estimate; Space discretisation; Space-time discretisation; Convergence; Algorithm.

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