Barzanti, Luca; Corradi, Corrado; Nardon, Martina - Dipartimento di Matematica Applicata, Università Ca' … - 2006
Richardson extrapolation (RE) is a commonly used technique in financial applications for accelerating the convergence of numerical methods. Particularly in option pricing, it is possible to refine the results of several approaches by applying RE, in order to avoid the difficulties of employing...