Nawdha Thakoor, Désiré Yannick Tangman, Muddun Bhuruth. Efficient and high accuracy pricing of barrier options under the CEV diffusion. J. Computational Applied Mathematics, 259:182-193, 2014. [doi]
@article{ThakoorTB14,
title = {Efficient and high accuracy pricing of barrier options under the CEV diffusion},
author = {Nawdha Thakoor and Désiré Yannick Tangman and Muddun Bhuruth},
year = {2014},
doi = {10.1016/j.cam.2013.05.009},
url = {http://dx.doi.org/10.1016/j.cam.2013.05.009},
researchr = {https://researchr.org/publication/ThakoorTB14},
cites = {0},
citedby = {0},
journal = {J. Computational Applied Mathematics},
volume = {259},
pages = {182-193},
}