An upwind approach for an American and European option pricing model
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Publication:1294336
DOI10.1016/S0096-3003(97)10122-9zbMath0937.91053MaRDI QIDQ1294336
Publication date: 29 June 1999
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
- Some mathematical results in the pricing of American options
- The Mathematics of Financial Derivatives
- Option pricing: A simplified approach
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