Numerical pricing of financial derivatives using Jain's high-order compact scheme (Q387081)
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scientific article; zbMATH DE number 6237495
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical pricing of financial derivatives using Jain's high-order compact scheme |
scientific article; zbMATH DE number 6237495 |
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Numerical pricing of financial derivatives using Jain's high-order compact scheme (English)
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11 December 2013
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interest rate models
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American options
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high-order discretisations
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operator splitting methods
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Black-Scholes equation
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