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Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis

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Author Info
Brennan, Michael J.
Schwartz, Eduardo S.
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Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 13 (1978)
Issue (Month): 03 (September)
Pages: 461-474
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Handle: RePEc:cup:jfinqa:v:13:y:1978:i:03:p:461-474_00

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  8. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers 1159, Queen's University, Department of Economics. [Downloadable!]
  9. Nigel Clarke, Kevin Parrott, 1999. "Multigrid for American option pricing with stochastic volatility," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(3), pages 177-195, September. [Downloadable!] (restricted)
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  12. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO. [Downloadable!]
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