Analysis of Quantization Error in Financial Pricing via Finite Difference Methods (Q4572020)
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scientific article; zbMATH DE number 6898477
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| English | Analysis of Quantization Error in Financial Pricing via Finite Difference Methods |
scientific article; zbMATH DE number 6898477 |
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Analysis of Quantization Error in Financial Pricing via Finite Difference Methods (English)
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4 July 2018
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nonsmooth initial conditions
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option pricing
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numerical solution
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partial differential equation
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convection-diffusion equations
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Fourier analysis
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finite difference methods
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Black-Scholes equation
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Greeks
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0.88359725
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0.86769927
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0.8651464
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0.86140084
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0.86108637
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0.8597715
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0.85702753
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