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Application of SWR algorithm in option pricing

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Publication:5196876
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DOI10.3969/J.ISSN.0490-6756.2019.01.007zbMATH Open1449.91151MaRDI QIDQ5196876FDOQ5196876


Authors: Guang He, X. J. Long Edit this on Wikidata


Publication date: 20 September 2019





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zbMATH Keywords

option pricingSchwarz waveform relaxation algorithmheat conduction equation


Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)







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