Discuss how to implement the secant method in the root-finding procedure of solving the optimal exercise price
Question:
Discuss how to implement the secant method in the root-finding procedure of solving the optimal exercise price S∗ti from the following algebraic equation
in the Grant–Vora–Weeks algorithm (Fu et al., 2001).
Transcribed Image Text:
X – S* = e¯r(T-¹₁) E| Pi+1| St; = St - E[₁
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The secant method is an iterative numerical technique used for finding roots of nonlinear equations In the context of solving the optimal exercise pri...View the full answer
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Jehal Shah
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