Valuing time-dependent CEV barrier options

DOI10.1155/2009/359623zbMath1175.91075OpenAlexW2099653969WikidataQ58646829 ScholiaQ58646829MaRDI QIDQ1040026

J. Blot

Publication date: 23 November 2009

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/222761

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation ⋮ Fast and accurate calculation of American option prices ⋮ Efficient and high accuracy pricing of barrier options under the CEV diffusion ⋮ Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation

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