A numerical method for American option pricing under CEV model.

• Other Authors: Zhao, Jing.
• Format: Others
• Language: English; Chinese
• Published: 2007
• Subjects: Options (Finance) > Prices > Mathematical models; Options (Finance) > Prices > United States > Mathematical models
• Online Access: http://library.cuhk.edu.hk/record=b5893177; http://repository.lib.cuhk.edu.hk/en/item/cuhk-325936

Zhao Jing. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. === Includes bibliographical references (leaves 72-74). === Abstracts in English and Chinese. === Chapter 1 --- Introduction --- p.1 === Chapter 2 --- The Constant Elasticity of Variance Model --- p.6 === Chapter 2.1 --- The CEV Assumption --- p.7 === Chapter 2.2 --- Properties of the CEV Model --- p.9 === Chapter 2.3 --- Empirical Evidence and Theoretical Support --- p.11 === Chapter 3 --- Option Pricing under CEV --- p.14 === Chapter 3.1 --- The Valuation of European Options --- p.14 === Chapter 3.2 --- The Valuation of American Options --- p.17 === Chapter 3.3 --- "How ""far"" is Enough?" --- p.19 === Chapter 4 --- The Proposed Artificial Boundary Approach --- p.21 === Chapter 4.1 --- Standardized Form of the CEV Model --- p.21 === Chapter 4.2 --- Exact Artificial Boundary Conditions --- p.23 === Chapter 4.3 --- The Integral Kernels and Numerical Laplace Inversion --- p.31 === Chapter 5 --- Numerical Examples --- p.35 === Chapter 5.1 --- General Numerical Scheme --- p.35 === Chapter 6 --- Homotopy Analysis Method --- p.47 === Chapter 6.1 --- The Front-Fixing Transformation --- p.47 === Chapter 6.2 --- Homotopy Analysis Method --- p.49 === Chapter 6.2.1 --- Zero-order Deformation Equation --- p.50 === Chapter 6.2.2 --- High-order Deformation Equation --- p.54 === Chapter 6.2.3 --- Pade Technique --- p.57 === Chapter 6.3 --- Numerical Comparison --- p.58 === Chapter 7 --- Conclusion --- p.63 === Appendix --- p.65 === Chapter A --- The Valuation of Perpetual American Options --- p.65 === Chapter B --- "Derivation of G(Y,r) = Ls-1 ((Y/a)vKv(Y)/sKv(sa)" --- p.66 === Chapter C --- Numerical Laplace Inversion --- p.68 === Bibliography --- p.72