A second-order difference scheme for the penalized black-scholes equation governing American put option pricing
Zhongdi Cen; Anbo Le; Aimin Xu
Year of publication: |
2012
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Authors: | Cen, Zhongdi ; Le, Anbo ; Xu, Aimin |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 40.2012, 1, p. 49-62
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Subject: | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model |
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