Titlebook: Numerical Partial Differential Equations in Finance Explained; An Introduction to C Karel in ‘t Hout Book 2017 The Editor(s) (if applicable

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Cash-or-Nothing Options,As a first step towards the numerical PDE valuation of more advanced types of financial options, we consider the cash-or-nothing call option, see Chapter 4. This option is relatively simple, but its payoff function has the property that it is discontinuous at the strike, see (4.9).

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