An Artificial Boundary Method for American Option Pricing under the CEV Model (Q3395093)
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scientific article; zbMATH DE number 5597482
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | An Artificial Boundary Method for American Option Pricing under the CEV Model |
scientific article; zbMATH DE number 5597482 |
Statements
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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0.8854315280914307
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0.844635546207428
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0.8132607340812683
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0.8100951910018921
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0.8033986687660217
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