Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions
Julien Baptiste and Emmanuel Lépinette
| Year of publication: |
2018
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|---|---|
| Authors: | Baptiste, Julien ; Lépinette, Emmanuel |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 5/6, p. 511-532
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| Subject: | And phrases: binomial tree model | diffusion partial differential equations | European option pricing | finite difference scheme | finite element scheme | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2018.1513806 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012129179