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• W2074451409 startingPage "427" @default.
• W2074451409 abstract "Option pricing models with uncertain volatility/transaction costs give rise to a nonlinear PDE. Previous work has focused on explicit methods. However, pricing discretely observed barrier options requires a very small grid spacing near the barrier, and as a result, the maximum stable timestep for an explicit method is impractically small. A fully implicit method is developed for nonlinear option pricing models, and applied to arithmetic step options, where the option loses a fraction of its value for every day over the barrier." @default.
• W2074451409 created "2016-06-24" @default.
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• W2074451409 date "2001-03-01" @default.
• W2074451409 modified "2023-09-23" @default.
• W2074451409 title "Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers" @default.
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• W2074451409 doi "https://doi.org/10.1016/s0168-9274(00)00018-0" @default.
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