Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 2, Page 93
Exercise 20

Use the secant method with seed values = 0 and = 1 to solve the same equation as in the previous exercise.

Solution

Newton's method employs the recursive formula

[2.147]

Starting with seed values = 0 and = 1 , we apply [2.147] recursively. Results are indicated below.

f()
1 0.00000  1.00000
2 1.00000 –0.28172
3 0.78020  0.35577
4 0.90287  0.02116
5 0.91062 –0.00183
6 0.91000  0.00001
7 0.91001  0.00000

 

 

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