English
Ciência-IUL
Publicações
Descrição Detalhada da Publicação
Valuing American-style options under the CEV model: an integral representation based method
Título Revista
Review of Derivatives Research
Ano (publicação definitiva)
2020
Língua
Inglês
País
Estados Unidos da América
Mais Informação
Web of Science®
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Abstract/Resumo
This article derives a new integral representation of the early exercise boundary for valuing American-style options under the constant elasticity of variance (CEV) model. An important feature of this novel early exercise boundary characterization is that it does not involve the usual (time) recursive procedure that is commonly employed in the so-called integral representation approach well known in the literature. Our non-time recursive pricing method is shown to be analytically tractable under the local volatility CEV process and the numerical experiments demonstrate its robustness and accuracy.
Agradecimentos/Acknowledgements
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Palavras-chave
CEV model,Option pricing,American-style options,Early exercise boundary,Iterative method
Classificação Fields of Science and Technology
- Economia e Gestão - Ciências Sociais
Registos de financiamentos
| Referência de financiamento | Entidade Financiadora |
|---|---|
| UID/GES/00315/2013 | Fundação para a Ciência e Tecnologia |
