A HODIE finite difference scheme for pricing American options (Q667962)
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scientific article; zbMATH DE number 7031853
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A HODIE finite difference scheme for pricing American options |
scientific article; zbMATH DE number 7031853 |
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A HODIE finite difference scheme for pricing American options (English)
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4 March 2019
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American options
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linear complementarity problem
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HODIE scheme
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implicit Euler scheme
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convergence analysis
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