Lecture 2021 Numerical Methods: 37: Numerical Approximation of Partial Derivatives (3)
Channel: finmath
Date: 2021-07-22

Lecture 2021 Numerical Methods: 37: Numerical Approximation of Partial Derivatives (3)

Lecture Computational Finance / Numerical Methods 37: Numerical Approximation of Partial Derivatives (Part 2/4): Error Estimates for Finite Difference Approximations

The third of four sessions on the numerical approximation of partial derivatives via finite differences.

- Error estimates
- What is a good choice for the shift size of the finite difference approximation?
- Shift size for one sided finite difference