Low volatility options and numerical diffusion of finite difference schemes (Q3000773)
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scientific article; zbMATH DE number 5901200
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| English | Low volatility options and numerical diffusion of finite difference schemes |
scientific article; zbMATH DE number 5901200 |
Statements
30 May 2011
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numerical diffusion
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spurious oscillations
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Black-Scholes equation
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low volatility options
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finite difference schemes
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non-smooth initial conditions
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option pricing
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exponential fitting
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Milev-Tagliani method
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Crank-Nicolson method
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discounted payoff options
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0.8639218211174011
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0.7910597920417786
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0.7903911471366882
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0.7897611856460571
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