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Black-Scholes model
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Scheduling in the high-uncertainty heavy traffic regime
Atar, Rami
;
Castiel, Eyal
;
Shadmi, Yonatan
- In:
Mathematics of operations research
50
(
2025
)
1
,
pp. 107-140
Persistent link: https://www.econbiz.de/10015211579
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2
Weak approximation for a black-scholes type regime switching model
Kohatsu-Higa, Arturo
;
Tanaka, Akihiro
- In:
Applied mathematical finance
31
(
2024
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10015194417
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3
Extreme at-the-money skew in a local volatility model
Pigato, Paolo
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 827-859
Persistent link: https://www.econbiz.de/10012114660
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4
The linearized stability of solutions of nonlinear hyperbolic systems of conservation laws
Godlewski, Edwige
;
Raviart, Pierre-Arnaud
- In:
Mathematics and Computers in Simulation (MATCOM)
50
(
1999
)
1
,
pp. 77-95
laws by linearizing the system around the basic solution; the resulting linearized system has
discontinuous
coefficients
…
Persistent link: https://www.econbiz.de/10010748830
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