Numerical solution of generalized Black-Scholes model (Q2423065)
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English | Numerical solution of generalized Black-Scholes model |
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Numerical solution of generalized Black-Scholes model (English)
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21 June 2019
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degenerate parabolic partial differential equation
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generalized Black-Scholes model
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HODIE (high-order difference approximation with identity expansions) scheme
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two-step backward differentiation formula
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