کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1142566 957155 2010 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Valuing American options under the CEV model by Laplace–Carson transforms
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات گسسته و ترکیبات
پیش نمایش صفحه اول مقاله
Valuing American options under the CEV model by Laplace–Carson transforms
چکیده انگلیسی

This paper investigates American option pricing under the constant elasticity of variance (CEV) model. Taking the Laplace–Carson transform (LCT) to the corresponding free-boundary problem enables the determination of the optimal early exercise boundary to be separated from the valuation procedure. Specifically, a functional equation for the LCT of the early exercise boundary is obtained. By applying Gaussian quadrature formulas, an efficient method is developed to compute the early exercise boundary, American option price and Greeks under the CEV model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Operations Research Letters - Volume 38, Issue 5, September 2010, Pages 474–481
نویسندگان
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