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A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options

Golbabai, A.; Ballestra, L.; Ahmadian, D. - In: Computational Economics 44 (2014) 2, pp. 153-173

of a repeated Richardson extrapolation procedure. Numerical experiments are carried out which reveal that the method …

Persistent link: https://www.econbiz.de/10010989279

A highly accurate finite element method to price discrete double barrier options

Golbabai, A.; Ballestra, L. V.; Ahmadian, D. - In: Computational economics 44 (2014) 2, pp. 153-173

Persistent link: https://www.econbiz.de/10010438023

On the efficient application of the repeated Richardson extrapolation technique to option pricing

Barzanti, Luca; Corradi, Corrado; Nardon, Martina - Dipartimento di Matematica Applicata, Università Ca' … - 2006

Richardson extrapolation (RE) is a commonly used technique in financial applications for accelerating the convergence of numerical methods. Particularly in option pricing, it is possible to refine the results of several approaches by applying RE, in order to avoid the difficulties of employing...

Persistent link: https://www.econbiz.de/10005756568

Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Chang, Chuang-Chang; Lin, Jun-Biao; Tsai, Wei-Che; … - In: Review of Quantitative Finance and Accounting 39 (2012) 3, pp. 383-406

In this paper the authors investigate the performance of the original and repeated Richardson extrapolation methods for … under alternative stochastic processes by applying the repeated Richardson extrapolation method and estimating the interval … Richardson extrapolation strongly outperforms the original, especially when the underlying asset price follows a stochastic …

Persistent link: https://www.econbiz.de/10010867627

Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Chang, Chuang-chang; Lin, Jun-biao; Tsai, Wei-che; … - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 383-406

Persistent link: https://www.econbiz.de/10009673702