A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option (Q896802)
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scientific article; zbMATH DE number 6520912
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| English | A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option |
scientific article; zbMATH DE number 6520912 |
Statements
A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option (English)
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14 December 2015
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interest rates derivatives
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option pricing and hedging
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PDE
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finite difference methods
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computational finance
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0.7774317264556885
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0.7695136666297913
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0.7683772444725037
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0.7630006074905396
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