Valuing American options under the CEV model by Laplace-Carson transforms

DOI10.1016/J.ORL.2010.07.006zbMATH Open1202.91329OpenAlexW1976875762MaRDI QIDQ613360FDOQ613360

Jing Zhao, Hoi Ying Wong

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

zbMATH Keywords

American optionconstant elasticity of variance modelLaplace-Carson transformsoptimal early exercise boundary

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Cites Work

• Title not available (Why is that?)
• 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 (24)

• Numerical methods for pricing American options with time-fractional PDE models
• LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS
• 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
• Recombining Tree Approximations for Optimal Stopping for Diffusions
• On convergence of Laplace inversion for the American put option under the CEV model
• 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
• 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
• Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
• An implicit scheme for American put options
• 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
• Title not available (Why is that?)

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