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

DOI10.1007/s11147-019-09157-wzbMath1437.91427OpenAlexW2943240096MaRDI QIDQ2180299

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 pricingiterative methodCEV modelearly exercise boundaryAmerican-style options

Mathematics Subject Classification ID

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

Related Items (1)

European option pricing under fuzzy CEV model

Cites Work

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