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Economical numerical methods for solving two-dimensional equations of the black-scholes type - подобные работы
Economical numerical methods for solving two-dimensional equations of the black-scholes type
European options on several assets. The Black-Scholes-Merton model. Numerical method. Sparse grid combination technique. Applying the method to the option pricing problem. Solving the transformed equation. Monte Carlo simulations. Bermudan styles.
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