An efficient numerical method for pricing American put options under the CEV model (Q2226255)
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scientific article; zbMATH DE number 7309591
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| English | An efficient numerical method for pricing American put options under the CEV model |
scientific article; zbMATH DE number 7309591 |
Statements
An efficient numerical method for pricing American put options under the CEV model (English)
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11 February 2021
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American option
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constant elasticity of variance model
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optimal exercise boundary
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transformed function
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cubic spline interpolation
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0.8854315280914307
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0.8779399991035461
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0.8669019937515259
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0.8582086563110352
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0.8241897821426392
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