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《South China Journal of Economics》 2006-02
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Numerical Solution for Binary Option Following Constant Elasticity of Variance Model

Xueqiao Du Hua Ding  
Suppose that underlying asset follows Constant Elasticity of Variance model(CEV).We derive pricing formula of binary option. Using finite difference method, we obtain an algorithm. Then numerical examples are provided which indicate the validity of the algorithm.
【Key Words】: CEV model binary option finite difference algorithm
【CateGory Index】: F224
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