Jérôme Bodeau

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Non-Uniform Grids for PDE in Finance

Number of pages: 23 Posted: 23 Nov 2007 Last Revised: 28 Oct 2009
Jérôme Bodeau, Gaël Riboulet and Thierry Roncalli
affiliation not provided to SSRN, Natixis and Amundi Asset Management
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Abstract:

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Theta-scheme, non-uniform grids, temporal grids, cubic spline interpolation, european option, american option, barrier option.