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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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We present a simple numerical method for pricing American put options under a constant elasticity of variance (CEV) model. Our analysis is done in a general framework where only the risk-neutral transition density of the underlying asset price is given. We obtain an integral equation of early exercise premium. By exploiting a modification of the integral equation, we propose a novel and simple numerical iterative valuation method for American put options.
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4. 결론
참고문헌
참고문헌 (10)
참고문헌 신청
1. [학술지(정기간행물)] - Carr, P. / 1992 / Alternative Characterizations of American Puts / Mathematical Finance 2 : 87 ~ 106
2. [단행본] - Cox, J. C. / 1975 / Notes on Option Pricing I : Constant Elasticity of Variance Diffusions, Mimeo / Stanford University
3. [학술지(정기간행물)] - Cox, J. C. / 1976 / The Valuation of Options for Alternative Stochastic Processes / Journal of Financial Economics 3 : 145 ~ 166
4. [학술지(정기간행물)] - Huang, J. / 1996 / Pricing and Hedging American Options : A Recursive Integration Method / Review of Financial Studies 9 : 277 ~ 300
5. [학술지(정기간행물)] - Ju, N. / 1998 / Pricing American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function / Review of Financial Studies 11 : 627 ~ 646
2. [단행본] - Cox, J. C. / 1975 / Notes on Option Pricing I : Constant Elasticity of Variance Diffusions, Mimeo / Stanford University
3. [학술지(정기간행물)] - Cox, J. C. / 1976 / The Valuation of Options for Alternative Stochastic Processes / Journal of Financial Economics 3 : 145 ~ 166
4. [학술지(정기간행물)] - Huang, J. / 1996 / Pricing and Hedging American Options : A Recursive Integration Method / Review of Financial Studies 9 : 277 ~ 300
5. [학술지(정기간행물)] - Ju, N. / 1998 / Pricing American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function / Review of Financial Studies 11 : 627 ~ 646
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UCI(KEPA) : I410-ECN-0101-2014-530-000855574