Show that when the terminal condition is a constant (phi(T, x)=c>0) the implicit scheme (22.8) recovers the
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Show that when the terminal condition is a constant \(\phi(T, x)=c>0\) the implicit scheme (22.8) recovers the known solution \(\phi(s, x)=c \mathrm{e}^{-r(T-s)}, s \in[0, T]\).
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Related Book For
Introduction To Stochastic Finance With Market Examples
ISBN: 9781032288277
2nd Edition
Authors: Nicolas Privault
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