Rannacher smoothing, Financial Management

Explain what is meant by a positive coefficient discretization in the context of valuing options using numerical PDE methods. What is the main benefit of using a positive coefficient discretization? Are there any drawbacks? (You should contain some
discussion related to the computation of option prices, deltas, and gammas, as well as the rate of convergence for both fully implicit and Crank-Nicolson time stepping schemes.)   
 
b)  Describe what "Rannacher smoothing" is and why it is used.

Posted Date: 3/16/2013 2:34:29 AM | Location : United States







Related Discussions:- Rannacher smoothing, Assignment Help, Ask Question on Rannacher smoothing, Get Answer, Expert's Help, Rannacher smoothing Discussions

Write discussion on Rannacher smoothing
Your posts are moderated
Related Questions
Determine the name of some profit margin ratios Other profit margin ratios can also be computed: Gross profit/ turnover Profit after tax/ turnover Advertising co

State about the capital structure of financial risk Frequently the funds supplied to a firm by lenders will change its financial structure and charge for the funds would be bas

#questiBabar Corporation''s present capital structure, which is also its target capital structure I, is 40% debt and 60% common equity. Next year''s net income is projected to be R

The collaterals used in the repo market are high quality securities; but they are also not free from credit risk. In our earlier example, we see the dealer borrow

Income that is received in a fund or by company by providing a service or selling a product, but still has to be received. Mutual funds or other pooled assets that build up income

A trade is assessed on the basis of its performance. Performance can be defined as the expected total return over and above the investment horizon of the trade. T


discuss the applicabilty of the operating cycle in a vegetable growing business

What is the fastest way to be rich?

Types of financial incentive schemes Performance associated pay (PRP) systems e.g. piecework or sales commission Bonuses e.g. supplementary payments for targets or ai