Differential algorithms for American put-options of CEV on dividend-paying stock

As a generalization of B-S model, CEV model is more feasible in practical operation. This paper aims at pricing problem for American put-options of CEV on dividend-paying stock．The variation equation for the model is derived. An explicit difference scheme for the approximate solution is presented Th...

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Autors principals:	GUO Zong-Huai, Hu Bing, XU You-Cai
Format:	Artigo
Idioma:	Inglês
Publicat:	Editorial Department of Journal of Sichuan University (Natural Science Edition) 2018-01-01
Col·lecció:	四川大学学报. 自然科学版
Matèries:	CEV American put-options Explicit difference schemes Stability Convergence
Accés en línia:	http://science.scu.edu.cn/thesisDetails?columnId=45825509&Fpath=home&index=0
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