منابع مشابه
Pricing Barrier Options with Square Root Process
The square root constant elasticity of variance (CEV) process has been paid little attention in previous research on valuation of barrier options. In this paper we derive analytical option pricing formulae of up-and-out options with this process using the eigenfunction expansion technique. We develop an efficient algorithm to compute the eigenvalues where the basis functions in the formulae are...
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The square root constant elasticity of variance (CEV) process has been paid little attention in previous research on valuation of barrier options. In this paper we derive analytical option pricing formulae of up-and-out options with this process using the eigenfunction expansion technique. We develop an efficient algorithm to compute numerical results from the formula. The numerical results are...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2006
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697680600724775