Efficient and high accuracy pricing of barrier options under the CEV diffusion (Q2252824)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient and high accuracy pricing of barrier options under the CEV diffusion |
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Efficient and high accuracy pricing of barrier options under the CEV diffusion (English)
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23 July 2014
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barrier options
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discretely monitored barriers
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constant elasticity of variance model
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high-order compact scheme
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fourth-order convergence
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