Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options (Q2450049)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options |
scientific article |
Statements
Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options (English)
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14 May 2014
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European options
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butterfly spread options
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digital options
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Black-Scholes equation
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barycentric interpolation
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implicit-explicit predictor-corrector methods
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0.89084554
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0.88230914
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0.8816743
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0.8730079
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0.8719501
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0.8696852
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0.8672582
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0.8669722
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