A comparison study of ADI and operator splitting methods on option pricing models (Q1946200)

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A comparison study of ADI and operator splitting methods on option pricing models
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    A comparison study of ADI and operator splitting methods on option pricing models (English)
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    18 April 2013
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    Black-Scholes equation
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    finite difference method
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    option pricing
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    comparison study
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    alternating direction implicit method
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    operator splitting method
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