Valuing American-style options under the CEV model: an integral representation based method

IF 0.7 4区经济学 Q4 BUSINESS, FINANCE

Review of Derivatives Research Pub Date : 2019-04-29 DOI:10.1007/s11147-019-09157-w

Aricson Cruz, José Carlos Dias

引用次数: 6

Abstract

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.

查看原文本刊更多论文

CEV模型下的美式期权价值评估:基于积分表示的方法

本文在恒方差弹性(CEV)模型下，导出了美式期权估值早期操作边界的一种新的积分表示。这种新颖的早期练习边界表征的一个重要特征是，它不涉及通常的(时间)递归过程，这种递归过程通常用于文献中众所周知的所谓的积分表示方法。本文提出的非时递归定价方法在局部波动CEV过程中具有解析性，数值实验证明了该方法的鲁棒性和准确性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Review of Derivatives Research Multiple-

CiteScore

1.40

自引率

0.00%

发文量

期刊介绍： The proliferation of derivative assets during the past two decades is unprecedented. With this growth in derivatives comes the need for financial institutions, institutional investors, and corporations to use sophisticated quantitative techniques to take full advantage of the spectrum of these new financial instruments. Academic research has significantly contributed to our understanding of derivative assets and markets. The growth of derivative asset markets has been accompanied by a commensurate growth in the volume of scientific research. The Review of Derivatives Research provides an international forum for researchers involved in the general areas of derivative assets. The Review publishes high-quality articles dealing with the pricing and hedging of derivative assets on any underlying asset (commodity, interest rate, currency, equity, real estate, traded or non-traded, etc.). Specific topics include but are not limited to: econometric analyses of derivative markets (efficiency, anomalies, performance, etc.) analysis of swap markets market microstructure and volatility issues regulatory and taxation issues credit risk new areas of applications such as corporate finance (capital budgeting, debt innovations), international trade (tariffs and quotas), banking and insurance (embedded options, asset-liability management) risk-sharing issues and the design of optimal derivative securities risk management, management and control valuation and analysis of the options embedded in capital projects valuation and hedging of exotic options new areas for further development (i.e. natural resources, environmental economics. The Review has a double-blind refereeing process. In contrast to the delays in the decision making and publication processes of many current journals, the Review will provide authors with an initial decision within nine weeks of receipt of the manuscript and a goal of publication within six months after acceptance. Finally, a section of the journal is available for rapid publication on `hot'' issues in the market, small technical pieces, and timely essays related to pending legislation and policy. Officially cited as: Rev Deriv Res