An Artificial Boundary Method for American Option Pricing under the CEV Model (Q3395093): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Created claim: DBLP publication ID (P1635): journals/siamnum/WongZ08, #quickstatements; #temporary_batch_1732532539753 |
||
| (3 intermediate revisions by 3 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1137/060671541 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2014141851 / rank | |||
Normal rank | |||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q58981045 / rank | |||
Normal rank | |||
| Property / DBLP publication ID | |||
| Property / DBLP publication ID: journals/siamnum/WongZ08 / rank | |||
Normal rank | |||
Latest revision as of 12:05, 25 November 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Artificial Boundary Method for American Option Pricing under the CEV Model |
scientific article |
Statements
An Artificial Boundary Method for American Option Pricing under the CEV Model (English)
0 references
20 August 2009
0 references
American option
0 references
artifical boundary
0 references
constant elasticity of variance
0 references
Cran-Nicolson scheme
0 references
