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FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION
FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION
2019
Youngjin Heo
Hyunsoo Han
Hanbyeol Jang
Yongho Choi
Junseok Kim
Keywords:
Applied mathematics
Finite difference method
Boundary value problem
Black–Scholes model
Valuation of options
Greeks
Mathematics
Correction
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