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Valuing American-style options under the CEV model: an integral representation based method
Review of Derivatives Research ( IF 0.7 ) Pub Date : 2019-04-29 , DOI: 10.1007/s11147-019-09157-w
Aricson Cruz , José Carlos Dias

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.



中文翻译:

CEV模型下的美式期权估值:基于积分表示的方法

本文推导了一种新的早期行权边界积分表示,用于在恒定方差弹性(CEV)模型下对美式期权进行估值。这种新颖的早期练习边界表征的一个重要特征是,它不涉及文献中众所周知的所谓积分表示方法中常用的通常(时间)递归过程。我们的非时间递归定价方法在局部波动性 CEV 过程中被证明是可分析处理的,并且数值实验证明了其稳健性和准确性。

更新日期:2019-04-29
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