Factors of Safety for Richardson Extrapolation

2009 ◽  
Author(s):  
Tao Xing ◽  
Fred Stern
Keyword(s):  
Richardson Extrapolation

scholarly journals Zur geschichte der Richardson-extrapolation

1979 ◽  
Vol 6 (3) ◽  
pp. 280-293 ◽  
Author(s):  
Von Hermann Engels
Keyword(s):  
Richardson Extrapolation

scholarly journals Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation

2021 ◽  
Author(s):  
Luca Vincenzo Ballestra
Keyword(s):  
Finite Difference ◽  
Optimization Procedure ◽  
Richardson Extrapolation ◽  
Mesh Optimization ◽  
Option Prices ◽  
Barrier Option ◽  
Double Barrier ◽  
Finite Difference Approximations ◽  
Barrier Option Pricing ◽  
Richardson Extrapolation Technique

AbstractWe show that the performances of the finite difference method for double barrier option pricing can be strongly enhanced by applying both a repeated Richardson extrapolation technique and a mesh optimization procedure. In particular, first we construct a space mesh that is uniform and aligned with the discontinuity points of the solution being sought. This is accomplished by means of a suitable transformation of coordinates, which involves some parameters that are implicitly defined and whose existence and uniqueness is theoretically established. Then, a finite difference scheme employing repeated Richardson extrapolation in both space and time is developed. The overall approach exhibits high efficacy: barrier option prices can be computed with accuracy close to the machine precision in less than one second. The numerical simulations also reveal that the improvement over existing methods is due to the combination of the mesh optimization and the repeated Richardson extrapolation.

scholarly journals Application of the Richardson extrapolation in simulation studies of EEGs

1987 ◽  
Vol 25 (2) ◽  
pp. 222-226 ◽  
Author(s):  
J. W. H. Meijs ◽  
H. B. K. Boom ◽  
M. J. Peters ◽  
A. van Oosterom
Keyword(s):  
Richardson Extrapolation ◽  
Simulation Studies

scholarly journals Polynomial interpolation with repeated Richardson extrapolation to reduce discretization error in CFD

2016 ◽  
Vol 40 (21-22) ◽  
pp. 8872-8885 ◽  
Author(s):  
Carlos Henrique Marchi ◽  
Márcio André Martins ◽  
Leandro Alberto Novak ◽  
Luciano Kiyoshi Araki ◽  
Márcio Augusto Villela Pinto ◽  
...  
Keyword(s):  
Polynomial Interpolation ◽  
Richardson Extrapolation ◽  
Discretization Error
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