A Kurganov-Tadmor numerical method for option pricing under the constant elasticity of variance model
The primary goal of option pricing theory is to calculate the probability that an option will be exercised at expiration and assign a dollar value to it. Options pricing theory also derives various risk factors or sensitivities based on those inputs, since market conditions are constantly changing,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University of Arak
2022-07-01
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| Series: | Advances in Mathematical Finance and Applications |
| Subjects: | |
| Online Access: | https://amfa.arak.iau.ir/article_681478_96b9bbe753076dcd8a76d56d52486258.pdf |