CEV asymptotics of American options

DOI10.1016/J.JMAA.2013.02.036MaRDI QIDQ2442980zbMATH OpenOpenAlexFDO

Authors Chi Seng Pun, Hoi Ying Wong

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

zbMATH Keywords

American optionsCEV modelpartial differential equationperturbation technique

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution to American options under general diffusion processes
• An Artificial Boundary Method for American Option Pricing under the CEV Model
• Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
• Asymptotic option pricing under the CEV diffusion
• Gaussian quadrature formulas for the numerica l integration of Bromwich's integral and the inversion of the Laplace transform
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• On a free boundary problem for an American put option under the CEV process
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Randomization and the American put
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• STOCK LOANS
• Valuing American options under the CEV model by Laplace-Carson transforms
• Valuing finite-lived Russian options

Cited in

(19)

• 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
• Valuing American-style options under the CEV model: an integral representation based method
• A note on options and bubbles under the CEV model: implications for pricing and hedging
• Computing the CEV option pricing formula using the semiclassical approximation of path integral
• An efficient numerical method for pricing American put options under the CEV model
• On convergence of Laplace inversion for the American put option under the CEV model
• Asymptotics of barrier option pricing under the CEV process
• Portfolio optimization with ambiguous correlation and stochastic volatilities
• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
• CCF approach for asymptotic option pricing under the CEV diffusion
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
• On a free boundary problem for an American put option under the CEV process
• Differential algorithms for American put-options of CEV on dividend-paying stock
• Valuing American options under the CEV model by Laplace-Carson transforms
• Asymptotic option pricing under the CEV diffusion
• Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping
• Analytical approximations for American option pricing under regime-switching models
• Q-world-informed double neural networks for option pricing PDEs

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