A practical finite difference method for the three-dimensional Black–Scholes equation
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References listed on IDEAS
- Bandi, Chaithanya & Bertsimas, Dimitris, 2014. "Robust option pricing," European Journal of Operational Research, Elsevier, vol. 239(3), pages 842-853.
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More about this item
KeywordsOption pricing; Equity–linked securities; Black–Scholes partial differential equation; Operator splitting method; Non–uniform grid;
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