Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model (Q2202986)
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scientific article; zbMATH DE number 7254182
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| English | Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model |
scientific article; zbMATH DE number 7254182 |
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Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model (English)
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1 October 2020
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numerical methods for PDEs
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hard-to-borrow model
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European call option
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Laplace transform
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finite difference methods
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0.8460397124290466
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0.8101748824119568
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0.7646170854568481
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0.7363845109939575
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0.7328299283981323
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