Search Results - subject:"numerical methods"

The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches

Chiarella, Carl; Kang, Boda; Meyer, Gunter H - World Scientific Publishing Co. Pte. Ltd.

The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In <i>The Numerical Solution of the American Option Pricing Problem</i>, Carl Chiarella, Boda Kang and Gunter Meyer focus on two...

Persistent link: https://www.econbiz.de/10011010989

Applied Computational Economics and Finance

Miranda, Mario J.; Fackler, Paul L. - The MIT Press

emphasizes practical numerical methods rather than mathematical proofs and focuses on techniques that apply directly to economic … numerical methods, including linear and nonlinear equation methods, complementarity methods, finite-dimensional optimization …

Persistent link: https://www.econbiz.de/10005233395

A Closure Approximation for the Nonstationary M/M/s Queue

Rothkopf, Michael H.; Oren, Shmuel S. - In: Management Science 25 (1979) 6, pp. 522-534

Typical queues do not have constant arrival rates. This paper discusses effective computational methods for dealing with queues having nonstationary arrival processes. It presents a computationally undemanding approximate method for finding the time dependent mean and standard deviation of the...

Persistent link: https://www.econbiz.de/10009214329