A new fourth-order numerical scheme for option pricing under the CEV model

DOI10.1016/J.AML.2012.08.002zbMath1262.91073OpenAlexW1989907354WikidataQ112880144 ScholiaQ112880144MaRDI QIDQ1761588

Muddun Bhuruth, Désiré Yannick Tangman, Nawdha Thakoor

Publication date: 15 November 2012

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2012.08.002

zbMATH Keywords

option pricinggrid refinementconstant elasticity of variance modelhigh-order compact schemes

Mathematics Subject Classification ID

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