Compact finite difference method for American option pricing (Q2370586)
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scientific article; zbMATH DE number 5168507
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Compact finite difference method for American option pricing |
scientific article; zbMATH DE number 5168507 |
Statements
Compact finite difference method for American option pricing (English)
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29 June 2007
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compact finite difference method
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free boundary value
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American option pricing
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optimal exercise boundary
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Black-Scholes equation
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0.92761564
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0.92532337
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0.9234718
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