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

DOI10.1007/S11147-019-09157-WzbMATH Open1437.91427OpenAlexW2943240096MaRDI QIDQ2180299FDOQ2180299

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

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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)

Cites Work

• The pricing of options and corporate liabilities
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• On the pricing of American options
• Generalized Cox-Ross-Rubinstein binomial models
• On the rate of convergence of discrete-time contingent claims.
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• A jump to default extended CEV model: an application of Bessel processes
• The pricing of the American option
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• A simple iterative method for the valuation of American options
• An alternative approach to the valuation of American options and applications
• On the computation of option prices and Greeks under the CEV model
• ON THE AMERICAN OPTION PROBLEM
• The valuation of American options for a class of diffusion processes
• Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
• 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

Cited In (3)

• 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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