A finite difference method for solving American put option under the CEV model

DOI10.13413/J.CNKI.JDXBLXB.2014.03.15MaRDI QIDQ5499338zbMATH OpenFDO

Authors Zhiyu Wang, Jingshi Li, Benxi Zhu, Haiming Song

Publication date 11 February 2015

zbMATH Keywords

CEV modelAmerican put optionoptimal exercise boundary

Mathematics Subject Classification ID

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)

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