High-order exponential spline method for pricing European options (Q4646565)
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scientific article; zbMATH DE number 7001134
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| English | High-order exponential spline method for pricing European options |
scientific article; zbMATH DE number 7001134 |
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High-order exponential spline method for pricing European options (English)
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14 January 2019
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European option pricing
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Black-Scholes equation
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exponential spline
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finite difference
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convergence
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0.8458731770515442
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0.8346948027610779
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0.8326613306999207
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0.8203799724578857
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