An Artificial Boundary Method for American Option Pricing under the CEV Model
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Publication:3395093
DOI10.1137/060671541zbMath1178.35363OpenAlexW2014141851WikidataQ58981045 ScholiaQ58981045MaRDI QIDQ3395093
Publication date: 20 August 2009
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/060671541
Initial-boundary value problems for second-order parabolic equations (35K20) Theoretical approximation in context of PDEs (35A35) Finite difference methods for boundary value problems involving PDEs (65N06) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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