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- W192255092 abstract "We present an accurate numerical solution for the discrete Black-Scholes equation with only a few grid points. European and American option problems with deterministic discrete dividend modelled by a jump condition at the exdividend date are solved. Fourth order finite differences are employed, as well as a grid stretching in space and a Lagrange interpolation at the ex-dividend date." @default.
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- W192255092 date "2006-01-01" @default.
- W192255092 modified "2023-10-14" @default.
- W192255092 title "American Options With Discrete Dividends Solved by Highly Accurate Discretizations" @default.
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- W192255092 doi "https://doi.org/10.1007/3-540-28073-1_67" @default.
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