An efficient numerical method for pricing American put options under the CEV model

DOI10.1016/j.cam.2020.113311zbMath1457.91417OpenAlexW3116332579MaRDI QIDQ2226255

Jung-Kyung Lee

Publication date: 11 February 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113311

zbMATH Keywords

American optionoptimal exercise boundaryconstant elasticity of variance modelcubic spline interpolationtransformed function

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)

Related Items (1)

European option pricing under fuzzy CEV model

Cites Work

• The Pricing of Options and Corporate Liabilities
• An alternative approach to the valuation of American options and applications
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
• Valuing American options under the CEV model by Laplace-Carson transforms
• An explicit series approximation to the optimal exercise boundary of American put options
• Hybrid Laplace transform and finite difference methods for pricing American options under complex models
• A new fourth-order numerical scheme for option pricing under the CEV model
• Lookback options and diffusion hitting times: a spectral expansion approach
• Direct computation for American put option and free boundary using finite difference method
• Efficient and high accuracy pricing of barrier options under the CEV diffusion
• A closed-form solution to American options under general diffusion processes
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• The Valuation of American Options for a Class of Diffusion Processes
• An Artificial Boundary Method for American Option Pricing under the CEV Model
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS

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