Basic Numerical Methods

You-lan Zhu, Xiaonan Wu, I-Liang Chern and Zhi-zhong Sun
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You-lan Zhu: University of North Carolina
Xiaonan Wu: Hong Kong Baptist University
I-Liang Chern: National Taiwan University
Zhi-zhong Sun: Southeast University

Chapter 6 in Derivative Securities and Difference Methods, 2013, pp 349-389 from Springer

Abstract: Abstract This chapter is devoted to the basic numerical methods. We first discuss various approximations, solution of systems, and eigenvalue problems. Then, we describe how to determine the parameters in stochastic models.

Keywords: Triangular Matrix; Quadratic Interpolation; European Call Option; Hessenberg Matrix; Tridiagonal System (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-1-4614-7306-0_6

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DOI: 10.1007/978-1-4614-7306-0_6

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