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Discrete Dynamics in Nature and Society
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Discrete Dynamics in Nature and Society
/
2016
/
Article
/
Tab 4
/
Research Article
Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations
Table 4
Gamma
and its error
at
and
. Here,
.
tol
0.01374
0.00774
0.00792
0.00802
0.00811
0.00807