A finite difference method for solving American put option under the CEV model
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Publication:5499338
DOI10.13413/J.CNKI.JDXBLXB.2014.03.15zbMATH Open1313.91192MaRDI QIDQ5499338FDOQ5499338
Authors: Zhiyu Wang, Jingshi Li, Benxi Zhu, Haiming Song 
Publication date: 11 February 2015
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cited In (9)
- 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
- Valuing American options under the CEV model by Laplace-Carson transforms
- Differential algorithms for American put-options of CEV on dividend-paying stock
- An Artificial Boundary Method for American Option Pricing under the CEV Model
- Finite difference methods for solving American lookback put options under the Black-Scholes model
- Finite difference method for solving American option based on Landau's transformation
- Title not available (Why is that?)
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
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