Efficient and high accuracy pricing of barrier options under the CEV diffusion (Q2252824)
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scientific article; zbMATH DE number 6319793
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| default for all languages | No label defined |
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| English | Efficient and high accuracy pricing of barrier options under the CEV diffusion |
scientific article; zbMATH DE number 6319793 |
Statements
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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0.8023859858512878
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0.7982929348945618
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0.793004035949707
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0.7915611267089844
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0.7891259789466858
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