DocumentCode
1645753
Title
A new numerical method for pricing binary options in the CEV process
Author
Guojun, Yuan ; Qingxian, Xiao
Author_Institution
Business School University of Shanghai for Science and Technology Shanghai 200093, P.R.C.
fYear
2011
Firstpage
1
Lastpage
4
Abstract
In order to study one of the valuation of the binary options in the constant elasticity of variance (CEV) process, by applying the Itô formula and no-arbitrage principle, derives the options pricing model and the differential equation of the options pricing model. Then, by means of semidiscretization for spatial variable, obtains the concrete semidiscretization numerical arithmetic scheme of the differential equation, conditional stability is proved, lastly numerical examples show that the algorithm is conditional stability and convergent.
Keywords
Mathematical model; Numerical models; Numerical stability; Partial differential equations; Pricing; Stability analysis; CEV process; Option pricing; convergenc; semidiscretization; stability;
fLanguage
English
Publisher
ieee
Conference_Titel
E -Business and E -Government (ICEE), 2011 International Conference on
Conference_Location
Shanghai, China
Print_ISBN
978-1-4244-8691-5
Type
conf
DOI
10.1109/ICEBEG.2011.5882084
Filename
5882084
Link To Document