Download PDF by R. Wong: Asymptotic and computational analysis: conference in honor

By R. Wong

Papers awarded on the overseas Symposium on Asymptotic and Computational research, held June 1989, Winnipeg, Man., subsidized by means of the dep.. of utilized arithmetic, college of Manitoba and the Canadian utilized arithmetic Society.

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6 Experiments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Geometric Average Options . . . . . . . . . . . . . . . . . . 2 Benchmarks . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Experimental Details . . . . . . . . . . . . . . . . . . . . . . 4 Experimental Results. . . . . . . . . . . . . . . . . . . . . . 5 Error Behavior . . . . . . . . . . . .

1 Geometric Average Options . . . . . . . . . . . . . . . . . . 2 Benchmarks . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Experimental Details . . . . . . . . . . . . . . . . . . . . . . 4 Experimental Results. . . . . . . . . . . . . . . . . . . . . . 5 Error Behavior . . . . . . . . . . . . . . . . . . . . .

We can therefore obtain partial derivatives at virtually no extra computational cost. An important advantage of the method that we propose is that the number of tuning parameters is small. The popular Longstaff–Schwartz method [23] is often sensitive to the choice of basis functions, and it seems difficult to give general guidelines on the selection of these functions. In contrast, the method proposed here is based on two main parameters, namely the number of mesh points used (replacing the space-discretization step in the standard P1: Naresh July 31, 2007 18:59 18 C925X C925X˙C002 CHAPTER 2 finite-difference method) and the time-discretization step.

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