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Efficient and high accuracy pricing of barrier options under the CEV diffusion · Study

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ArticleEfficient and high accuracy pricing of barrier options under the CEV diffusion

Nawdha Thakoor2013

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Articlebronze2013

Efficient and high accuracy pricing of barrier options under the CEV diffusion

Nawdha Thakoor · Désiré Yannick Tangman · Muddun Bhuruth

16 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Differential Equations and Numerical Methods

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References

1973The Pricing of Options and Corporate Liabilities 1996The Constant Elasticity of Variance Option Pricing Model 2001Pricing and Hedging Path-Dependent Options Under the CEV Process 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions 2000PDE methods for pricing barrier options 2007Pricing Options in Jump-Diffusion Models: An Extrapolation Approach 1999Pricing Lookback and Barrier Options under the CEV Process 2003A Fast Numerical Method for the Black--Scholes Equation of American Options

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2015A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE

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Year2013

Typearticle

Published2013-06-13

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2013.05.009

openalex_workW2084938732

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