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

DOI10.1016/j.orl.2010.07.006zbMath1202.91329OpenAlexW1976875762MaRDI QIDQ613360

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)

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Cites Work

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• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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