We present a fast numerical scheme based on a high-order compact discretisation which accurately computes the option price.
The empirically observed negative relationship between a stock price and its return volatility can be captured by the constant elasticity of variance option ...
We present a fast numerical scheme based on a high-order compact discretisation which accurately computes the option price. Various numerical examples indicate ...
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We present a fast numerical scheme based on a high-order compact discretisation which accurately computes the option price. Various numerical examples indicate ...
In this paper, we present numerical methods to find the optimal exercise boundary with respect to an American put option under the CEV model.
N. Thakoor, D. Y. Tangman and M. Bhuruth. A new fourth-order numerical scheme for option pricing under the CEV model. Applied Mathematics Letters, 26, 160-164, ...
New numerical methods are developed for the pricing of European and American options under the CEV model. For European options, we develop a high-order compact ...
Sep 11, 2023 · Hence, an efficient fourth-order in space and fifth-order in time numerical scheme for approximating the option value is established.
A finite difference implementation is simpler and we propose a fourth-order numerical scheme for continuously and discretely monitored barriers. We demonstrate ...
This paper proposes an artificial boundary method for partial differential equations (PDEs) to compute American option prices and Greeks under the CEV model.