On convergence of Laplace inversion for the American put option under the CEV model

DOI10.1016/j.cam.2016.03.030zbMath1386.91142OpenAlexW2327247293MaRDI QIDQ277189

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

zbMATH Keywords

Laplace transformAmerican optionCEV modelWhittaker function

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model, Convergence analysis of finite element method for a parabolic obstacle problem, Hybrid Laplace transform and finite difference methods for pricing American options under complex models, Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods, Computing the CEV option pricing formula using the semiclassical approximation of path integral, The \(CEV\) model and its application to financial markets with volatility uncertainty, Efficient valuation of a variable annuity contract with a surrender option, The fractional and mixed-fractional CEV model

Cites Work

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• On a free boundary problem for an American put option under the CEV process
• Valuing American options under the CEV model by Laplace-Carson transforms
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• Valuing continuous-installment options
• Option pricing with Mellin transforms
• Valuing finite-lived Russian options
• Application of the Fast Gauss Transform to Option Pricing
• Laplace transforms and American options