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Home        Knowledge Base        Equity Derivatives and Structured Products Glossary        Closed-form solution

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Closed-form solution

Search definitions        Search   Closed-form solution Also called an analytical solution. An explicit solution of, for example, an Option pricing problem by the use of formulae involving only simple mathematical functions, such as Black-Scholes or Vasicek models. Closed-form models can usually be evaluated much more quickly than numerical models, which are sometimes far more computationally intensive. Posted by  Privatebanking.com     Back     Print     Email

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