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

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
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2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions279 cited
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2007Pricing Options in Jump-Diffusion Models: An Extrapolation Approach168 cited
2003A Fast Numerical Method for the Black--Scholes Equation of American Options124 cited
1999Pricing Lookback and Barrier Options under the CEV Process124 cited
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1998An explicit finite difference approach to the pricing of barrier options88 cited
2000CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS63 cited
2007Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation60 cited
2007Exponential time integration and Chebychev discretisation schemes for fast pricing of options53 cited
2008A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS52 cited

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2008

An Artificial Boundary Method for American Option Pricing under the CEV Model

47 cited

2009Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy45 cited

Cited by

2015A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE15 cited