A new fourth-order numerical scheme for option pricing under the CEV model (Q1761588)
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scientific article; zbMATH DE number 6107016
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new fourth-order numerical scheme for option pricing under the CEV model |
scientific article; zbMATH DE number 6107016 |
Statements
A new fourth-order numerical scheme for option pricing under the CEV model (English)
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15 November 2012
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option pricing
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constant elasticity of variance model
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high-order compact schemes
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grid refinement
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