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

Hoi Ying Wong Jing Zhao

Published in: SIAM J. Numer. Anal. (2008)

Keyphrases

probabilistic model
objective function
prior knowledge
option pricing
theoretical framework
dynamic programming
statistical methods
sensitivity analysis
numerical methods
data mining
computational complexity
probability distribution
information extraction
level set
belief networks
multi criteria