Efficient and high accuracy pricing of barrier options under the CEV diffusion

作者：

Highlights：

• We develop a new numerical algorithm for pricing barrier options.

• The algorithm computes high-accuracy numerical prices.

• Barriers with both continuous and discrete monitoring can be priced.

• Comparisons with existing methods reveals superior performance.

• The method prices options under the Constant Elasticity of Variance Model.

摘要

•We develop a new numerical algorithm for pricing barrier options.•The algorithm computes high-accuracy numerical prices.•Barriers with both continuous and discrete monitoring can be priced.•Comparisons with existing methods reveals superior performance.•The method prices options under the Constant Elasticity of Variance Model.

论文关键词：65M70,62P05,91G20,Barrier options,Discretely monitored barriers,Constant elasticity of variance model,High-order compact scheme,Fourth-order convergence

论文评审过程：Received 31 October 2012, Revised 30 April 2013, Available online 12 June 2013.

论文官网地址：https://doi.org/10.1016/j.cam.2013.05.009