𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the errors and comparison of Vega estimation methods

✍ Scribed by San-Lin Chung; Mark Shackleton

Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
242 KB
Volume
25
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

This article discusses convergence problems when calculating Vega (option sensitivity to volatility) that arise from discretization errors embedded in the lattice approach. Four alternative improvements to the traditional binomial method are discussed and investigated for performance. We also propose a new Modified Binomial (MB) Method to calculate Vegas. Numerical results show that although the MB is not the most price accurate of the models, due to its error structure as a function of volatility, it produces the most accurate and fastest Vega estimates.

πŸ“œ SIMILAR VOLUMES

On error estimator and p-adaptivity in t
On error estimator and p-adaptivity in the generalized finite element method
✍ F. B. Barros; S. P. B. ProenΓ§a; C. S. de Barcellos πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 323 KB πŸ‘ 1 views

## Abstract This paper addresses the issue of a p‐adaptive version of the generalized finite element method (GFEM). The technique adopted here is the equilibrated element residual method, but presented under the GFEM approach, i.e., by taking into account the typical nodal enrichment scheme of the

A comparison between new adaptive remesh
A comparison between new adaptive remeshing strategies based on point wise stress error estimation and energy norm error estimation
✍ Bugeda, G. πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 189 KB πŸ‘ 1 views

## Abstract Traditionally, the most commonly used mesh adaptive strategies for linear elastic problems are based on the use of an energy norm for the measurement of the error, and a mesh refinement strategy based on the equal distribution of the error between all the elements. However, little atten