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

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

In order to solve numerically the constant elasticity of variance (CEV) model for pricing of European call option, we propose in thiswork the Stochastic Runge-Kutta method. We compare the obtained results using this approache, with those given by the Monte Carlo method in Broadie-Kaya [4]. Further,...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Int. J. Math. Anal 2014, Vol.8 (18), p.849-856
Hauptverfasser: Aboulaich, Rajae, Jraifi, Abdelilah, Medarhri, Ibtissam
Format: Artikel
Sprache:eng
Schlagworte:
Mathematics
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
container_end_page 856
container_issue 18
container_start_page 849
container_title Int. J. Math. Anal
container_volume 8
creator Aboulaich, Rajae
Jraifi, Abdelilah
Medarhri, Ibtissam
description In order to solve numerically the constant elasticity of variance (CEV) model for pricing of European call option, we propose in thiswork the Stochastic Runge-Kutta method. We compare the obtained results using this approache, with those given by the Monte Carlo method in Broadie-Kaya [4]. Further, we demonstrate the faster convergence rate of the error obtained by the proposed method. Finally a comparative numerical study is done using different values of the coefficient of elasticity
doi_str_mv 10.12988/ijma.2014.4381
format Article
fullrecord <record><control><sourceid>hal_cross</sourceid><recordid>TN_cdi_crossref_primary_10_12988_ijma_2014_4381</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>oai_HAL_hal_03135016v1</sourcerecordid><originalsourceid>FETCH-LOGICAL-c1201-80362a8ffbb3d267ca7097fca77b5c4ac7cadc2602d3d0ddcb2a2572c1e363b83</originalsourceid><addsrcrecordid>eNpNkMtrAjEQxkNpoWI99zrHelDz2JdHEVtLhUJf15DNw43sbmQTLf73zWopncsM33wzzPwQuid4Sui8KGZ214gpxSSZJqwgV2hAGEkmeZrPr__Vt2jk_Q7HiEpK6QDt34OTlfDBSng7tFsNL4cQBDQ6VE55-LahglBpkK71QbQBdH1223ACZ-AoOitaqeFhufoag7LGHLx1LTRO6RqM62DfRXe7BbcPsXGHboyovR795iH6fFx9LNeTzevT83KxmUgS35gUmGVUFMaUJVM0y6XI8Tw3MeVlKhMho6IkzTBVTGGlZEkFTXMqiWYZKws2ROPL3krUPJ7QiO7EnbB8vdjwXosIWIpJdiTRO7t4Zee877T5GyCYn_nyni_v-fKeL_sBOxdvoA</addsrcrecordid><sourcetype>Open Access Repository</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>Stochastic Runge Kutta methods with the constant elasticity of variance (CEV) diffusion model for pricing option</title><source>Free E-Journal (出版社公開部分のみ）</source><creator>Aboulaich, Rajae ; Jraifi, Abdelilah ; Medarhri, Ibtissam</creator><creatorcontrib>Aboulaich, Rajae ; Jraifi, Abdelilah ; Medarhri, Ibtissam</creatorcontrib><description>In order to solve numerically the constant elasticity of variance (CEV) model for pricing of European call option, we propose in thiswork the Stochastic Runge-Kutta method. We compare the obtained results using this approache, with those given by the Monte Carlo method in Broadie-Kaya [4]. Further, we demonstrate the faster convergence rate of the error obtained by the proposed method. Finally a comparative numerical study is done using different values of the coefficient of elasticity</description><identifier>ISSN: 1314-7579</identifier><identifier>EISSN: 1314-7579</identifier><identifier>DOI: 10.12988/ijma.2014.4381</identifier><language>eng</language><subject>Mathematics</subject><ispartof>Int. J. Math. Anal, 2014, Vol.8 (18), p.849-856</ispartof><rights>Distributed under a Creative Commons Attribution 4.0 International License</rights><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c1201-80362a8ffbb3d267ca7097fca77b5c4ac7cadc2602d3d0ddcb2a2572c1e363b83</citedby></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,776,780,881,4009,27902,27903,27904</link.rule.ids><backlink>$$Uhttps://uphf.hal.science/hal-03135016$$DView record in HAL$$Hfree_for_read</backlink></links><search><creatorcontrib>Aboulaich, Rajae</creatorcontrib><creatorcontrib>Jraifi, Abdelilah</creatorcontrib><creatorcontrib>Medarhri, Ibtissam</creatorcontrib><title>Stochastic Runge Kutta methods with the constant elasticity of variance (CEV) diffusion model for pricing option</title><title>Int. J. Math. Anal</title><description>In order to solve numerically the constant elasticity of variance (CEV) model for pricing of European call option, we propose in thiswork the Stochastic Runge-Kutta method. We compare the obtained results using this approache, with those given by the Monte Carlo method in Broadie-Kaya [4]. Further, we demonstrate the faster convergence rate of the error obtained by the proposed method. Finally a comparative numerical study is done using different values of the coefficient of elasticity</description><subject>Mathematics</subject><issn>1314-7579</issn><issn>1314-7579</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><recordid>eNpNkMtrAjEQxkNpoWI99zrHelDz2JdHEVtLhUJf15DNw43sbmQTLf73zWopncsM33wzzPwQuid4Sui8KGZ214gpxSSZJqwgV2hAGEkmeZrPr__Vt2jk_Q7HiEpK6QDt34OTlfDBSng7tFsNL4cQBDQ6VE55-LahglBpkK71QbQBdH1223ACZ-AoOitaqeFhufoag7LGHLx1LTRO6RqM62DfRXe7BbcPsXGHboyovR795iH6fFx9LNeTzevT83KxmUgS35gUmGVUFMaUJVM0y6XI8Tw3MeVlKhMho6IkzTBVTGGlZEkFTXMqiWYZKws2ROPL3krUPJ7QiO7EnbB8vdjwXosIWIpJdiTRO7t4Zee877T5GyCYn_nyni_v-fKeL_sBOxdvoA</recordid><startdate>2014</startdate><enddate>2014</enddate><creator>Aboulaich, Rajae</creator><creator>Jraifi, Abdelilah</creator><creator>Medarhri, Ibtissam</creator><scope>AAYXX</scope><scope>CITATION</scope><scope>1XC</scope></search><sort><creationdate>2014</creationdate><title>Stochastic Runge Kutta methods with the constant elasticity of variance (CEV) diffusion model for pricing option</title><author>Aboulaich, Rajae ; Jraifi, Abdelilah ; Medarhri, Ibtissam</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c1201-80362a8ffbb3d267ca7097fca77b5c4ac7cadc2602d3d0ddcb2a2572c1e363b83</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2014</creationdate><topic>Mathematics</topic><toplevel>online_resources</toplevel><creatorcontrib>Aboulaich, Rajae</creatorcontrib><creatorcontrib>Jraifi, Abdelilah</creatorcontrib><creatorcontrib>Medarhri, Ibtissam</creatorcontrib><collection>CrossRef</collection><collection>Hyper Article en Ligne (HAL)</collection><jtitle>Int. J. Math. Anal</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Aboulaich, Rajae</au><au>Jraifi, Abdelilah</au><au>Medarhri, Ibtissam</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Stochastic Runge Kutta methods with the constant elasticity of variance (CEV) diffusion model for pricing option</atitle><jtitle>Int. J. Math. Anal</jtitle><date>2014</date><risdate>2014</risdate><volume>8</volume><issue>18</issue><spage>849</spage><epage>856</epage><pages>849-856</pages><issn>1314-7579</issn><eissn>1314-7579</eissn><abstract>In order to solve numerically the constant elasticity of variance (CEV) model for pricing of European call option, we propose in thiswork the Stochastic Runge-Kutta method. We compare the obtained results using this approache, with those given by the Monte Carlo method in Broadie-Kaya [4]. Further, we demonstrate the faster convergence rate of the error obtained by the proposed method. Finally a comparative numerical study is done using different values of the coefficient of elasticity</abstract><doi>10.12988/ijma.2014.4381</doi><tpages>8</tpages></addata></record>
fulltext fulltext
identifier ISSN: 1314-7579
ispartof Int. J. Math. Anal, 2014, Vol.8 (18), p.849-856
issn 1314-7579
1314-7579
language eng
recordid cdi_crossref_primary_10_12988_ijma_2014_4381
source Free E-Journal (出版社公開部分のみ）
subjects Mathematics
title Stochastic Runge Kutta methods with the constant elasticity of variance (CEV) diffusion model for pricing option
url https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-24T21%3A15%3A48IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-hal_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Stochastic%20Runge%20Kutta%20methods%20with%20the%20constant%20elasticity%20of%20variance%20(CEV)%20diffusion%20model%20for%20pricing%20option&rft.jtitle=Int.%20J.%20Math.%20Anal&rft.au=Aboulaich,%20Rajae&rft.date=2014&rft.volume=8&rft.issue=18&rft.spage=849&rft.epage=856&rft.pages=849-856&rft.issn=1314-7579&rft.eissn=1314-7579&rft_id=info:doi/10.12988/ijma.2014.4381&rft_dat=%3Chal_cross%3Eoai_HAL_hal_03135016v1%3C/hal_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_id=info:pmid/&rfr_iscdi=true