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

Cruz, Aricson César Jesus da; Dias, José Carlos

doi:10.1007/s11147-019-09157-w

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2019

2024

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Cited by 5 publications

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“…with the compatibility conditions ψ 1 (0) = φ(S 1 ), ψ 2 (0) = φ(S 2 ). Then, there exists a unique analytical solution V (S, t) to the problem (6), that is…”

Section: Proof Setmentioning

confidence: 99%

Solutions of a Time Fractional Black-Scholes Equation Under the Constant Elasticity of Variance Process

Zhang¹

2023

Int. J. of Appl. Math.

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In this paper we consider backward problem and inverse source problem for time-fractional Black-Scholes equation, which arises from pricing double barrier option under the constant elasticity of variance process. Main tools are spectral method and Sturm-Liouville theory. The existence, uniqueness and convergence analysis of analytic solutions of the backward problem and inverse source problem of time-fractional Black-Scholes model are established in terms of Whittaker functions or modified Bessel functions with large variables.

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“…with the compatibility conditions ψ 1 (0) = φ(S 1 ), ψ 2 (0) = φ(S 2 ). Then, there exists a unique analytical solution V (S, t) to the problem (6), that is…”

Section: Proof Setmentioning

confidence: 99%