Valuing American options under the CEV model by Laplace-Carson transforms
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Publication:613360
DOI10.1016/J.ORL.2010.07.006zbMATH Open1202.91329OpenAlexW1976875762MaRDI QIDQ613360FDOQ613360
Authors: Hoi Ying Wong, Jing Zhao 
Publication date: 20 December 2010
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2010.07.006
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Cites Work
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- Title not available (Why is that?)
- Valuing finite-lived Russian options
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Randomization and the American put
- An Artificial Boundary Method for American Option Pricing under the CEV Model
- Revisit of stochastic mesh method for pricing American options
- Gaussian quadrature formulas for the numerica l integration of Bromwich's integral and the inversion of the Laplace transform
- American options: symmetry properties
- The valuation of American options for a class of diffusion processes
- Pricing American options when asset prices jump
Cited In (27)
- Numerical methods for pricing American options with time-fractional PDE models
- Efficient valuation of a variable annuity contract with a surrender option
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- On convergence of Laplace inversion for the American put option under the CEV model
- Valuing American-style options under the CEV model: an integral representation based method
- An efficient numerical method for pricing American put options under the CEV model
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- CEV asymptotics of American options
- Pricing American lookback options under a stochastic volatility model
- CTMC integral equation method for American options under stochastic local volatility models
- The valuation of American options with the stochastic liquidity risk and jump risk
- Laplace bounds approximation for American options
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
- An Artificial Boundary Method for American Option Pricing under the CEV Model
- A refined Laplace-Carson transform approach to valuing convertible bonds
- An implicit scheme for American put options
- Recombining tree approximations for optimal stopping for diffusions
- Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process
- A simple and fast method for valuing American knock-out options with rebates
- Laplace transform method for pricing American CEV strangles option with two free boundaries
- Analytic solution for American strangle options using Laplace-Carson transforms
- Hybrid Laplace transform and finite difference methods for pricing American options under complex models
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
- Optimal reinsurance and investment policies with the CEV stock market
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