Small dimension PDE for discrete Asian options (Q951412)
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scientific article; zbMATH DE number 5356656
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Small dimension PDE for discrete Asian options |
scientific article; zbMATH DE number 5356656 |
Statements
Small dimension PDE for discrete Asian options (English)
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24 October 2008
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discrete Asian option
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homogeneity
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PDEs
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Crank-Nicholson
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non-proportional dividends
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smile
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