EGAR Technology Inc. - Системы для финансового рынка, банковские системы

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Viktor Kazarin
Post-Suprematism Art
EGAR Technology project

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Stability of explicit and implicit methods, used for pricing of the barrier option with 2 constant barriers.

Black-Sholes's partial differential equation (PDE) is the basis for fair option pricing. There are two numerical methods of resolving this PDE: explicit and implicit. By the example of the barrier option pricing we analyze stability of both methods.

Mark Ioffe

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