A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion (Q2804029)
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scientific article; zbMATH DE number 6574577
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| English | A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion |
scientific article; zbMATH DE number 6574577 |
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A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion (English)
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27 April 2016
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finite element method
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operator splitting
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barrier options
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discrete barrier
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CEV model
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jump-diffusion
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0.8220632076263428
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0.8140531182289124
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0.7927396297454834
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0.7915611267089844
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