Spread option pricing using ADI methods
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alternating direction implicit methodAmerican optionanalytical approximationexchange optionmodified Craig-Sneydnumerical PDE solutionpenalty iterationspread optiontwo-dimensional Black-Scholes
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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