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Implementation of numerical Fourier method for second order Taylor schemes
The problem of pricing contingent claims in a complete market has received a significant amount of attention in literature since the seminal work of Black, Fischer and Scholes, Myron (1973). It was also in 1973 that the theory of backward stochastic differential equations (BSDEs) was developed by Bi...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2020
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