The implied volatility is a crucial element in any financial toolbox, since it is used to both quote and hedge options as well as for model calibration. In contrast to the Black–Scholes formula, its ...
In the last chapter we discussed why grid points must cluster at boundaries for spectral methods based on polynomials. In particular, we introduced the Chebyshev points, which cluster as required. In ...
A Comparison of the Successive Overrelaxation Method and Semi-Iterative Methods Using Chebyshev Polynomials A Comparison of the Successive Overrelaxation Method and Semi-Iterative Methods Using ...
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