AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS
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Publication:5894487
DOI10.4134/CKMS.2009.24.4.617zbMath1231.91475MaRDI QIDQ5894487
In-Suk Wee, Darae Jeong, Junseok Kim
Publication date: 8 February 2012
Published in: Communications of the Korean Mathematical Society (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
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