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Stochastic Runge-Kutta methods with the constant elasticity of variance (CEV) diffusion model for pricing option

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https://hal-uphf.archives-ouvertes.fr/hal-03135016
Contributor : Frédéric Pruvost Connect in order to contact the contributor
Submitted on : Monday, February 8, 2021 - 4:31:50 PM
Last modification on : Saturday, October 9, 2021 - 3:15:52 AM

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  • HAL Id : hal-03135016, version 1

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Rajae Aboulaich, A. Jraifi, I. Medarhri. Stochastic Runge-Kutta methods with the constant elasticity of variance (CEV) diffusion model for pricing option. Int. J. Math. Anal. , 2014, 8, pp.849-856. ⟨hal-03135016⟩

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