30. Using the definite integrals over bounded intervals in exercises 26 (b) and 26(c), and 27 (a)...
Question:
30. Using the definite integrals over bounded intervals in exercises 26
(b) and 26(c), and 27
(a) and 27
(b) (use n ¼ 10 and r ¼ 0:10 in exercise 27):
(a) Implement both the trapezoidal rule and Simpson’s rule for several values of n and compare the associated errors. (Hint: Try n ¼ 5; 10; 25, and 100, say.)
(b) For each, evaluate the error as n increases significantly, to see if the respective orders of convergence, O 1 n2
and O 1 n4
, are apparent. (Hint: If T n ¼ jI I Tj for Dx ¼ ba n , the error T n ¼ O 1 n2
means that n2T n aCT for some constant CT as n ! y, and similarly for S n ¼ jI I Sj, that n4S n aCS as n ! y. Attempt to verify that the CT and CS values obtained are no bigger than the values predicted in theory using the maxima of the derivatives of the given functions.)
Step by Step Answer:
Introduction To Quantitative Finance A Math Tool Kit
ISBN: 978-0262013697
1st Edition
Authors: Robert R. Reitano