An Artificial Boundary Method for American Option Pricing under the CEV Model (Q3395093): Difference between revisions

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Latest revision as of 12:05, 25 November 2024

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

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    An Artificial Boundary Method for American Option Pricing under the CEV Model (English)
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    20 August 2009
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    American option
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    artifical boundary
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    constant elasticity of variance
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    Cran-Nicolson scheme
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