Simple reordering techniques for expanding the convergence of first-order iterative techniques
Article Abstract:
A new convergence theorem for Gauss-Seidel iterations featuring faster convergence rates and wider convergence radii for reorder equations is presented. Evaluations show that the model reduces reordering costs by 13% with potential gains from reordering possibly being twice as large as those available from extrapolation. Reordering may therefore be used to reduce computational costs and increase convergence radii.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1998
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Pricing the American put option: a detailed convergence analysis for binomial models
Article Abstract:
An analysis of the order of convergence for price calculations of the American put option reveals that proper extrapolation may yield up to 100 times better results than existing approaches. The European put option calculations were extended to the American put option and numerical analysis reveals that better smoothing may improve results further and achieve order of convergence two.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1998
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