Adaptive \(\theta \)-methods for pricing American options (Q952094): Difference between revisions
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Revision as of 20:19, 19 March 2024
scientific article
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English | 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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