No self-introduction
Loading
Profile
Follow
codes (2)
Constrained Splined Interpolator in VBA
no vote
Cubic splines traditionally suffer from overshooting (particularly under constraints), which results in less than desirable accuracy. By sacrificing some smoothness in the spline, we can prevent overshooting. This can be achieved by eliminating the requirement for equal 2nd order derivatives at each point and replacing it with specific 1st order derivatives. Package includes research conducted by author as well as an Excel file containing an example and code.
peepingtom 1 0
1
Weighted PDE Method for options under Black Schole
no vote
Uses PDE (explicit and implicit) method to solve for option prices (European and American) under Black-Scholes.
peepingtom 2 0
1
No more~
Follows0
Fans0