Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation (Q2051161)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation |
scientific article |
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Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation (English)
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24 November 2021
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double barrier option
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mesh optimization
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Richardson extrapolation
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high-order accuracy
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finite difference method
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