CEV asymptotics of American options
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Publication:2442980
DOI10.1016/j.jmaa.2013.02.036zbMath1284.91553OpenAlexW2085569543MaRDI QIDQ2442980
Publication date: 2 April 2014
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.02.036
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (6)
A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Fast Laplace transform methods for free-boundary problems of fractional diffusion equations ⋮ Laplace transform method for pricing American CEV strangles option with two free boundaries ⋮ A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE ⋮ Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities ⋮ CCF approach for asymptotic option pricing under the CEV diffusion
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- An Artificial Boundary Method for American Option Pricing under the CEV Model
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- STOCK LOANS
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