A Cubic B-Spline Collocation Method for Barrier Options under the CEV Model

被引：0
|
作者：
Yu, Xiwei [1 ]
Hu, Qing [1 ]
Sun, Yudong [2 ]
机构：
[1] Guizhou Minzu Univ, Coll Data Sci & Informat Engn, Guiyang 550025, Peoples R China
[2] Guizhou Minzu Univ, Dept Finance, Guiyang 550025, Peoples R China
来源：
MATHEMATICS | 2023年 / 11卷 / 18期
关键词：
CEV model; barrier options; cubic B-spline; Crank-Nicolson method; CONSTANT ELASTICITY; NUMERICAL-METHOD; STABILITY; EQUATION; JUMP;
D O I：
10.3390/math11183979
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, we construct a new numerical algorithm for the partial differential equation of up-and-out put barrier options under the CEV model. In this method, we use the Crank-Nicolson scheme to discrete temporal variables and the cubic B-spline collocation method to discrete spatial variables. The method is stable and has second-order convergence for both time and space variables. The convergence analysis of the proposed method is discussed in detail. Finally, numerical examples verify the stability and accuracy of the method.
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页数：18
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