On convergence of Laplace inversion for the American put option under the CEV model
DOI10.1016/J.CAM.2016.03.030zbMATH Open1386.91142OpenAlexW2327247293MaRDI QIDQ277189FDOQ277189
Authors: Sihun Jo, Minsuk Yang, Geonwoo Kim 
Publication date: 4 May 2016
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2016.03.030
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Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Second-order parabolic equations (35K10)
Cites Work
- Option pricing with Mellin transforms
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- Valuing continuous-installment options
- Valuing finite-lived Russian options
- Application of the fast Gauss transform to option pricing
- Laplace transforms and American options
- On a free boundary problem for an American put option under the CEV process
- Title not available (Why is that?)
- Valuing American options under the CEV model by Laplace-Carson transforms
Cited In (10)
- Efficient valuation of a variable annuity contract with a surrender option
- Computing the CEV option pricing formula using the semiclassical approximation of path integral
- Convergence analysis of finite element method for a parabolic obstacle problem
- An efficient numerical method for pricing American put options under the CEV model
- Valuing American options under the CEV model by Laplace-Carson transforms
- The \(CEV\) model and its application to financial markets with volatility uncertainty
- Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model
- The fractional and mixed-fractional CEV model
- Estimating the constant elasticity of variance model with data-driven Markov chain Monte Carlo methods
- Hybrid Laplace transform and finite difference methods for pricing American options under complex models
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