scholarly journals A European option general first-order error formula

2013 ◽  
Vol 54 ◽  
pp. 248
Author(s):  
Guillaume Leduc
Keyword(s):  
European Option ◽  
Order Error ◽  
First Order ◽  
Error Formula

scholarly journals A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA

2013 ◽  
Vol 54 (4) ◽  
pp. 248-272 ◽  
Author(s):  
GUILLAUME LEDUC
Keyword(s):  
Random Walks ◽  
European Security ◽  
European Option ◽  
Order Error ◽  
First Order ◽  
Error Formula ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Option Values ◽  
Payoff Functions

AbstractWe study the value of European security derivatives in the Black–Scholes model when the underlying asset $\xi $ is approximated by random walks ${\xi }^{(n)} $. We obtain an explicit error formula, up to a term of order $ \mathcal{O} ({n}^{- 3/ 2} )$, which is valid for general approximating schemes and general payoff functions. We show how this error formula can be used to find random walks ${\xi }^{(n)} $ for which option values converge at a speed of $ \mathcal{O} ({n}^{- 3/ 2} )$.

Analysis of a New Mixed Finite Volume Method

2003 ◽  
Vol 3 (1) ◽  
pp. 189-201 ◽  
Author(s):  
Ilya D. Mishev
Keyword(s):  
Finite Volume Method ◽  
Finite Volume ◽  
Elliptic Equations ◽  
Variable Pressure ◽  
Order Error ◽  
First Order ◽  
Scalar Variable ◽  
Volume Method ◽  
Well Posed ◽  
Theoretical Results

AbstractA new mixed finite volume method for elliptic equations with tensor coefficients on rectangular meshes (2 and 3-D) is presented. The implementation of the discretization as a finite volume method for the scalar variable (“pressure”) is derived. The scheme is well suited for heterogeneous and anisotropic media because of the generalized harmonic averaging. It is shown that the method is stable and well posed. First-order error estimates are derived. The theoretical results are confirmed by the presented numerical experiments.

Estimating the error in variational scattering calculations

1978 ◽  
Vol 56 (10) ◽  
pp. 1358-1364 ◽  
Author(s):  
J. W. Darewych ◽  
R. Pooran
Keyword(s):  
Wave Scattering ◽  
Exponential Potential ◽  
S Wave ◽  
Order Error ◽  
Absolute Value ◽  
First Order ◽  
Scattering Phase ◽  
Square Well ◽  
Scattering Phase Shifts ◽  
Made In

We derive bounds to the absolute value of the error that is made in variational estimates of scattering phase shifts. These bounds, like the variational estimates, are second order in 'small' quantities and are, in this respect, an improvement on similar but first-order error bounds derived previously by Bardsley, Gerjuoy, and Sukumar. The s-wave scattering by a square well potential, in the Born approximation, and by an exponential potential, using a many parameter trial function, are used to illustrate the results.

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