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 propos
On the Randomized Error of Polynomial Methods for Eigenvector and Eigenvalue Estimates
β Scribed by Gianna M. Del Corso; Giovanni Manzini
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 309 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0885-064X
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