A finite difference method for American option of two risky assets (Q3501674)
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scientific article; zbMATH DE number 5284352
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A finite difference method for American option of two risky assets |
scientific article; zbMATH DE number 5284352 |
Statements
3 June 2008
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implicit finite difference
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option pricing
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block-tridiagonal matrices
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0.8335966467857361
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0.8170785307884216
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0.8000451326370239
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0.797623336315155
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0.7939134240150452
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