On convergence of Laplace inversion for the American put option under the CEV model

In this paper, we study the convergence of the inverse Laplace transform for valuing American put options when the dynamics of the risky asset is governed by the constant elasticity of variance (CEV) model. The CEV model is one popular alternative of the Black–Scholes model to describe well the real financial market. We calculate various coefficients explicitly and prove that the inverse Laplace transform converges absolutely using the properties of Whittaker functions.