On a free boundary problem for an American put option under the CEV process

DOI10.1016/j.aml.2011.02.006zbMath1211.91242arXiv1009.2973OpenAlexW2065539768MaRDI QIDQ533479

Charles Knessl, Miao Xu

Publication date: 3 May 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.2973

zbMATH Keywords

asymptoticsintegral equationCEV processput option

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

On convergence of Laplace inversion for the American put option under the CEV model ⋮ Fast Laplace transform methods for free-boundary problems of fractional diffusion equations ⋮ CEV asymptotics of American options ⋮ Laplace transform method for pricing American CEV strangles option with two free boundaries ⋮ Efficient and high accuracy pricing of barrier options under the CEV diffusion

Cites Work

• The Pricing of Options and Corporate Liabilities
• Matched asymptotic expansions in financial engineering
• Asymptotics of Barrier Option Pricing Under the CEV Process
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• Ray methods for free boundary problems
• PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
• Singular Perturbations in Option Pricing
• Optimal exercise boundary for an American put option
• A Note on a Moving Boundary Problem Arising in the American Put Option
• American options on assets with dividends near expiry
• Asymptotic analysis of the American call option with dividends

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