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.
What are possible ways of marking exotic or over-the-counter contracts?
What are random factors for risk-neutral drifts?
Elaborate the statement: Coefficient of variation is a better risk calculator to use than the standard deviation when estimating the risk of capital budgeting projects.
Explain in brief Crash Metrics.
Good fellow national bank decided to compete with a savings and loan by offering 30 year fixed rate mortgage loans at 8% annual interest. It plans to obtain the money got the loans by selling one year 6% CD to it's depositors. During first year of operation, good fellows sold it's depositors 1,000,0
How are financial or economic variable represented by index?
Where are Monte Carlo simulations used?
Normal 0 false false
Based on the information below, calculate the weighted average cost of capital. Great Corporation has the following capital situation. Debt: One thousand bonds were issued five years ago at a coupon rate of 10%. They had 25-year terms and $1,000 face values. They are now selling to yield 9%. Th
Why financial ratio analysis requires trend analysis and industry comparison?
18,76,764
1947334 Asked
3,689
Active Tutors
1424940
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!