A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE

DOI10.1016/J.CHAOS.2015.11.036zbMath1415.91313OpenAlexW2214481388MaRDI QIDQ508291

Liliana Cecere, Luca Vincenzo Ballestra

Publication date: 10 February 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2015.11.036

zbMATH Keywords

option pricingcalibrationAmerican optionBlack-ScholesCEV model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model ⋮ Calibration to American options: numerical investigation of the de-Americanization method ⋮ Optimal exercise boundary via intermediate function with jump risk ⋮ Efficient numerical pricing of American options based on multiple shooting method: a PDE approach ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Reconstruction of local volatility surface from American options ⋮ A computational method to price with transaction costs under the nonlinear Black-Scholes model ⋮ An efficient numerical method for pricing American put options under the CEV model ⋮ Complexity in quantitative finance and economics ⋮ An efficient computational algorithm for pricing European, barrier and American options ⋮ Analytic solutions for variance swaps with double-mean-reverting volatility

Uses Software

• BRENT

Cites Work

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