Asymptotics of barrier option pricing under the CEV process

Applied Mathematical Finance

Volumn 17, Issue 3, 2010, Pages 261-300

  Hu, Fannu ^a   Knessl, Charles ^a  

^a UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

Author keywords

Barrier options; Black Scholes model; CEV process; Singular perturbation

Indexed keywords

EID: 77953653208     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860903335355     Document Type: Article

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