Journal of Jilin University Science Edition
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WANG Zhiyu, LI Jingshi, ZHU Benxi, SONG Haiming
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We applied the finite difference method to solve American put option pricing problem under the CEV model, and got the numerical approximations of the option price and the optimal exercise boundary. The algorithm is fast and accurate, which can provide a method of pricing the financial products for financial institutions efficiently, and it has theoretical and practical values. Numerical experiments verify the efficiency of this method.
Key words: CEV model, American put option, optimal exercise boundary
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WANG Zhiyu, LI Jingshi, ZHU Benxi, SONG Haiming. Finite Difference Method for Solving AmericanPut Option under the CEV Model[J].Journal of Jilin University Science Edition, 2014, 52(03): 489-493.
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URL: http://xuebao.jlu.edu.cn/lxb/EN/
http://xuebao.jlu.edu.cn/lxb/EN/Y2014/V52/I03/489
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