Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees?

2015 ◽  
Vol 39 (4) ◽  
pp. 1329-1342 ◽  
Author(s):  
Guillaume Leduc
Keyword(s):  
High Order ◽  
Option Prices ◽  
Order Convergence ◽  
European Option ◽  
Binomial Trees ◽  
High Order Convergence

High-order convergence of the k-fold pseudo-Newton’s irrational method locating a simple real zero

2006 ◽  
Vol 182 (1) ◽  
pp. 492-497
Author(s):  
Young Hee Geum ◽  
Young Ik Kim ◽  
Min Surp Rhee
Keyword(s):  
Real Zero ◽  
High Order ◽  
Order Convergence ◽  
High Order Convergence

scholarly journals Variations on Hermite Methods for Wave Propagation

2017 ◽  
Vol 22 (2) ◽  
pp. 303-337 ◽  
Author(s):  
Arturo Vargas ◽  
Jesse Chan ◽  
Thomas Hagstrom ◽  
Timothy Warburton
Keyword(s):  
Wave Propagation ◽  
Time Evolution ◽  
Discontinuous Galerkin ◽  
Hermite Interpolation ◽  
High Order ◽  
New Method ◽  
Order Convergence ◽  
Hyperbolic Pdes ◽  
High Order Convergence ◽  
Dg Methods

AbstractHermite methods, as introduced by Goodrich et al. in [15], combine Hermite interpolation and staggered (dual) grids to produce stable high order accurate schemes for the solution of hyperbolic PDEs. We introduce three variations of this Hermite method which do not involve time evolution on dual grids. Computational evidence is presented regarding stability, high order convergence, and dispersion/dissipation properties for each new method. Hermite methods may also be coupled to discontinuous Galerkin (DG) methods for additional geometric flexibility [4]. An example illustrates the simplification of this coupling for Hermite methods.

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