CEV Asymptotics of American Options

CEV Asymptotics of American Options

The constant elasticity of variance (CEV) model is a practical approach to option pricing by fitting to the implied volatility smile. Its application to American-style derivatives, however, poses analytical and numerical challenges. By taking the Laplace–Carson transform (LCT) to the free-boundary v...

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Bibliographic Details
Main Authors: Pun, Chi Seng, Wong, Hoi Ying
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2016
Subjects:
Perturbation technique
CEV model
American options
Partial differential equation
Online Access:https://hdl.handle.net/10356/81381
http://hdl.handle.net/10220/40732
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Institution: Nanyang Technological University
Language: English

Internet

https://hdl.handle.net/10356/81381
http://hdl.handle.net/10220/40732

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