A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
From MaRDI portal
(Redirected from Publication:508291)
Recommendations
- An efficient numerical method for pricing American put options under the CEV model
- Valuing American-style options under the CEV model: an integral representation based method
- On the computation of option prices and Greeks under the CEV model
- An Artificial Boundary Method for American Option Pricing under the CEV Model
- A finite difference method for solving American put option under the CEV model
- Valuing American options under the CEV model by Laplace-Carson transforms
- A Numerical Approach for the American Call Option Pricing Model
- A new fourth-order numerical scheme for option pricing under the CEV model
- American option pricing under stochastic volatility: an efficient numerical approach
- American Option Pricing Using Simulation and Regression: Numerical Convergence Results
Cites work
- scientific article; zbMATH DE number 1573291 (Why is no real title available?)
- scientific article; zbMATH DE number 2119185 (Why is no real title available?)
- scientific article; zbMATH DE number 3388498 (Why is no real title available?)
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A computational study of the one-dimensional parabolic equation subject to nonclassical boundary specifications
- A new fourth-order numerical scheme for option pricing under the CEV model
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- Asymptotic option pricing under the CEV diffusion
- CEV asymptotics of American options
- Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- Extrapolation of difference methods in option valuation
- Generalized autoregressive conditional heteroscedasticity
- Investment timing under hybrid stochastic and local volatility
- On the solution of the non-local parabolic partial differential equations via radial basis functions
- Pricing perpetual American options under multiscale stochastic elasticity of variance
- Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
- Solving Ordinary Differential Equations I
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- The Mathematics of Financial Derivatives
- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- The pricing of options and corporate liabilities
- Valuing American options under the CEV model by Laplace-Carson transforms
- Variational inequalities and the pricing of American options
Cited in
(14)- PDE-based Bayesian inference of CEV dynamics for credit risk in stock prices
- A new fourth-order numerical scheme for option pricing under the CEV model
- 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
- Calibration to American options: numerical investigation of the de-americanization method
- 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
- Optimal exercise boundary via intermediate function with jump risk
- Reconstruction of local volatility surface from American options
- Implied variance estimates for Black-Scholes and CEV OPM: review and comparison
- An efficient computational algorithm for pricing European, barrier and American options
- Complexity in quantitative finance and economics
This page was built for publication: A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q508291)
