Asymptotics of Barrier Option Pricing Under the CEV Process

DOI10.1080/13504860903335355zbMath1233.91275OpenAlexW2096648894MaRDI QIDQ2786207

Fan-Nu Hu, Charles Knessl

Publication date: 21 September 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903335355

zbMATH Keywords

singular perturbationBlack-Scholes modelCEV processbarrier options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

On a free boundary problem for an American put option under the CEV process

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
• Matched asymptotic expansions in financial engineering
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• Ray methods for free boundary problems
• PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
• Rays, waves and asymptotics
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• Singular Perturbations in Option Pricing
• Boundary Value Problems of Mathematical Physics: Volume 2
• Optimal exercise boundary for an American put option
• Equivalent Black volatilities
• Asymptotic and numerical studies of the leader election algorithm
• American options on assets with dividends near expiry
• Asymptotic analysis of the American call option with dividends

This page was built for publication: Asymptotics of Barrier Option Pricing Under the CEV Process