Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
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Publication:2348959
DOI10.1016/j.cam.2013.07.033zbMath1314.91233OpenAlexW1969671547MaRDI QIDQ2348959
Publication date: 16 June 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2013.07.033
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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