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- W2182757696 abstract "The main objective of this paper is to develop an adaptive nite element method for computation of the values and dieren t sensitivity measures of ordinary European options, barrier options, and lookback options. The options are priced using the Black-Scholes PDE-model, and the resulting PDE:s are of parabolic type in one spatial dimension with different boundary conditions and jump conditions at monitoring dates. The adaptive nite element method is based on a posteriori estimates of the error in desired quantities, which we derive using duality techniques. The suggested adaptive nite element method is stable and gives fast and accurate results." @default.
- W2182757696 created "2016-06-24" @default.
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- W2182757696 date "2004-01-01" @default.
- W2182757696 modified "2023-09-26" @default.
- W2182757696 title "Valuing European, Barrier, and Lookback Options using the Finite Element Method and Duality Techniques" @default.
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