Abstract
This chapter is devoted to the basic numerical methods. We first discuss various approximations, solution of systems, and eigenvalue problems. Then, we deal with finite-difference methods for parabolic partial differential equations, including algorithms, stability and convergence analysis, and extrapolation techniques of numerical solutions. Finally, we discuss how to determine the parameters in stochastic models.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2004 Springer Science+Business Media New York
About this chapter
Cite this chapter
Zhu, Yl., Wu, X., Chern, IL. (2004). Basic Numerical Methods. In: Derivative Securities and Difference Methods. Springer Finance. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-3938-1_5
Download citation
DOI: https://doi.org/10.1007/978-1-4757-3938-1_5
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4419-1925-0
Online ISBN: 978-1-4757-3938-1
eBook Packages: Springer Book Archive