Determine the efficiency of finite differences
Determine the efficiency of finite differences?
Expert
Finite differences are extremely good at coping with low dimensions, and that are the method of choice when you have a contract with embedded decisions. They are excellent for non-linear differential equations.
The time taken to price an option and compute the sensitivities to underlying(s) and time using the explicit finite-difference method will be
O(M ε-1-d/2),
Here M is the no. of different options in the portfolio and we need an accuracy of ε, and d is the no. of dimensions except time. So when we have a non-path-dependent option upon a single underlying so d = 1. Note there that we may require one piece of code per option, therefore M in the above.
Normal 0 false false
From books of Aggarwal Bors, following information has been extracted: Rs. Sales 2,40,000 Variable costs 1,44,000 Fixed costs 26,000 Profit before tax 70,000 Rate of tax 40% Firm is proposing to buy the new plant that could generate extra annual profit of Rs. 10,000. The fixed cost of new plant is e
Explain in brief about financial ratio?
What is Arbitrage?
Illustrates an example of probability of coin willing to bet?
What is marking to market straightforward?
Assess a home country's multinational corporations as tool for international diversification.In spite of the fact that MNCs have operations worldwide, their stock prices act very much like purely domestic firms. It is puzzling yet undeniable. Co
Explain parallel loan ?A parallel loan involves four parties. One MNC borrows & re-lends to another's subsidiary and vice versa.
Is it possible for a company with a positive net income and which does not distribute dividends to find itself in suspension of payments?
What is Modern Portfolio Theory?
18,76,764
1938788 Asked
3,689
Active Tutors
1460772
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!