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Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions
Baptiste, Julien, Lépinette, EmmanuelLanguage:
english
Journal:
Applied Mathematical Finance
DOI:
10.1080/1350486X.2018.1513806
Date:
October, 2018
File:
PDF, 2.21 MB
english, 2018