Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model
DOI10.1080/00207160.2014.887274zbMath1311.91195OpenAlexW2070186631MaRDI QIDQ5175480
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Publication date: 23 February 2015
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2014.887274
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) Initial value problems for second-order parabolic equations (35K15)
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