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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| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2016
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/81381 http://hdl.handle.net/10220/40732 |
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| Institution: | Nanyang Technological University |
| Language: | English |