Adaptive \(\theta \)-methods for pricing American options (Q952094): Difference between revisions

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Revision as of 20:19, 19 March 2024

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Adaptive \(\theta \)-methods for pricing American options
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    Adaptive \(\theta \)-methods for pricing American options (English)
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    6 November 2008
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    Black-Scholes PDE
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    American options
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    \(\theta \)-methods
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    method of lines
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    locally one-dimensional exponential splitting
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    adaptive time-stepping
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