Der Idee von Geske und Johnson folgend wird der Preis einer amerikanischen Put-Option durch den Preis einer n-Bermuda-Put-Option approximiert. Die Problematik der Berechnung von der in der analytischen Bewertungsformeln von Geske und Johnson auftretenden multidimensionalen...

In this paper the authors investigate the performance of the original and repeated Richardson extrapolation methods for American option pricing by implementing both the original and modified Geske–Johnson approximation formulae. A comprehensive numerical comparison includes alternative...

Present work is the development of a finite difference scheme based on Richardson extrapolation technique. It gives an exponential compact higher order scheme (ECHOS) for two-dimensional linear convection-diffusion equations (CDE). It uses a compact nine point stencil, over which the governing...

This study proposes a numerical integration technique to determine the approximate integral of the neutrosophic valued function. Newton Cot's method with a positive coefficient has been used for neutrosophic integration, and then the suggested technique is used to find the approximate value of...