On numerical stability of recursive present value computation method
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2006
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866909853115482112 |
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| author | Kuketayev, Argyn |
| author_facet | Kuketayev, Argyn |
| contents | We analyze numerical stability of a recursive computation scheme of present value (PV) amd show that the absolute error increases exponentially for positive discount rates. We show that reversing the direction of calculations in the recurrence equation yields a robust PV computation routine. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_cs_0611049 |
| institution | arXiv |
| publishDate | 2006 |
| record_format | arxiv |
| spellingShingle | On numerical stability of recursive present value computation method Kuketayev, Argyn Computational Engineering, Finance, and Science Numerical Analysis G.1.0; J.1 We analyze numerical stability of a recursive computation scheme of present value (PV) amd show that the absolute error increases exponentially for positive discount rates. We show that reversing the direction of calculations in the recurrence equation yields a robust PV computation routine. |
| title | On numerical stability of recursive present value computation method |
| topic | Computational Engineering, Finance, and Science Numerical Analysis G.1.0; J.1 |
| url | https://arxiv.org/abs/cs/0611049 |