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Discrete Dynamics in Nature and Society
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Discrete Dynamics in Nature and Society
/
2016
/
Article
/
Tab 3
/
Research Article
Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations
Table 3
Delta
and its error
at
and
. Here, Delta by the exact formula is
.
tol
24.7890
25.5980
25.5713
25.5553
25.5425
25.5481