Chang, Chuang-Chang; Lin, Jun-Biao; Tsai, Wei-Che; … - In: Review of Quantitative Finance and Accounting 39 (2012) 3, pp. 383-406
In this paper the authors investigate the performance of the original and repeated Richardson extrapolation methods for … whether the original or modified formula is implemented, the Richardson extrapolation techniques work very well. The repeated … Richardson extrapolation strongly outperforms the original, especially when the underlying asset price follows a stochastic …