Adaptive \(\theta \)-methods for pricing American options (Q952094)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive \(\theta \)-methods for pricing American options |
scientific article |
Statements
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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