대한산업공학회지 (Journal of Korean Institute of Industrial Engineers)

  • 제38권4호
  • /
  • Pages.244-248
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  • 2012
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  • 1225-0988(pISSN)
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  • 2234-6457(eISSN)
대한산업공학회 (Korean Institute of Industrial Engineers)
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수치적 반복 수렴 방법을 이용한 CEV 모형에서의 아메리칸 풋 옵션 가격 결정

An Iterative Method for American Put Option Pricing under a CEV Model

  • Lee, Seungkyu (Department of Industrial and Management Engineering, Pohang University of Science and Technology) ;
  • Jang, Bong-Gyu (Department of Industrial and Management Engineering, Pohang University of Science and Technology) ;
  • Kim, In Joon (Yonsei School of Business)
  • 투고 : 2012.10.31
  • 심사 : 2012.11.13
  • 발행 : 2012.12.01
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초록

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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과제정보

연구 과제 주관 기관 : 한국연구재단

참고문헌

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