Option pricing under model involving slow growth volatility

DOI10.1080/00207160.2011.557070zbMath1237.91226OpenAlexW2036951515MaRDI QIDQ2885509

Driss Meskine, Abdelghani Benjouad, Ali Souissi, Mohammmed Kbiri Alaoui

Publication date: 23 May 2012

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2011.557070

zbMATH Keywords

option pricingfinite difference methodsdegenerate parabolic equationsCEV model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Degenerate parabolic equations (35K65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Second-order parabolic equations (35K10)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Preservation of convexity of solutions to parabolic equations
• Convexity of solutions of parabolic equations
• The pricing of derivatives on assets with quadratic volatility
• Computational Methods for Option Pricing

This page was built for publication: Option pricing under model involving slow growth volatility