Valuing American-style options under the CEV model: an integral representation based method

DOI10.1007/S11147-019-09157-WMaRDI QIDQ2180299zbMATHOpenAlexFDO

Authors Aricson Cruz, José Carlos Dias

Publication date 13 May 2020

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-019-09157-w

zbMATH Keywords

option pricingCEV modeliterative methodearly exercise boundaryAmerican-style options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 775283 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump to default extended CEV model: an application of Bessel processes
• A simple iterative method for the valuation of American options
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• An alternative approach to the valuation of American options and applications
• CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL
• Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient
• Generalized Cox-Ross-Rubinstein binomial models
• ON THE AMERICAN OPTION PROBLEM
• On the computation of option prices and Greeks under the CEV model
• On the pricing of American options
• On the rate of convergence of discrete-time contingent claims.
• Optimal Stopping and the American Put
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
• The pricing of options and corporate liabilities
• The pricing of the American option
• The valuation of American options for a class of diffusion processes

Cited in

(4)

• CEV asymptotics of American options
• European option pricing under fuzzy CEV model
• Valuing American options under the CEV model by Laplace-Carson transforms
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE

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