A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
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Publication:508291
DOI10.1016/J.CHAOS.2015.11.036zbMATH Open1415.91313OpenAlexW2214481388MaRDI QIDQ508291FDOQ508291
Liliana Cecere, Luca Vincenzo Ballestra
Publication date: 10 February 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2015.11.036
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Cites Work
- The pricing of options and corporate liabilities
- Generalized autoregressive conditional heteroscedasticity
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Solving Ordinary Differential Equations I
- Variational inequalities and the pricing of American options
- On the solution of the non-local parabolic partial differential equations via radial basis functions
- Valuing American options under the CEV model by Laplace-Carson transforms
- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
- The Mathematics of Financial Derivatives
- A computational study of the one-dimensional parabolic equation subject to nonclassical boundary specifications
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
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- Stabilized explicit Runge-Kutta methods for multi-asset American options
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- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Investment timing under hybrid stochastic and local volatility
- Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
- Asymptotic option pricing under the CEV diffusion
- A new fourth-order numerical scheme for option pricing under the CEV model
- Extrapolation of difference methods in option valuation
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
- CEV asymptotics of American options
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Pricing perpetual American options under multiscale stochastic elasticity of variance
Cited In (11)
- Analytic solutions for variance swaps with double-mean-reverting volatility
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- An efficient numerical method for pricing American put options under the CEV model
- Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model
- A computational method to price with transaction costs under the nonlinear Black-Scholes model
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- Calibration to American options: numerical investigation of the de-Americanization method
- Optimal exercise boundary via intermediate function with jump risk
- Reconstruction of local volatility surface from American options
- An efficient computational algorithm for pricing European, barrier and American options
- Complexity in quantitative finance and economics
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