Numerical pricing of options using high-order compact finite difference schemes (Q932713): Difference between revisions

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Revision as of 01:41, 5 March 2024

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Numerical pricing of options using high-order compact finite difference schemes
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    Numerical pricing of options using high-order compact finite difference schemes (English)
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    11 July 2008
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    European options
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    American options
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    high-order compact scheme
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    grid stretching
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    front fixing
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    Black-Scholes PDE
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