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"An Artificial Boundary Method for American Option Pricing under the CEV Model."

Hoi Ying Wong, Jing Zhao (2008)

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DOI: 10.1137/060671541

access: closed

type: Journal Article

metadata version: 2020-05-11

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  - journals/siamnum/WongZ08
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  - https://dblp.org/rec/journals/siamnum/WongZ08
Hoi Ying Wong, Jing Zhao:
An Artificial Boundary Method for American Option Pricing under the CEV Model. SIAM J. Numer. Anal. 46(4): 2183-2209 (2008)

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