Title: CCF approach for asymptotic option pricing under the CEV diffusion
Abstract: In the last two decades, the asymptotic expansion approach has become popular in mathematical finance because it enables us to obtain closed-form approximation formulae for many kinds of options within various kinds of financial models, such as local and stochastic volatility models. In this study, we propose an asymptotic expansion formula for the option price in a constant elasticity of variance model using the asymptotic expansion technique and Fourier analysis. This approach enables us to derive the higher order terms using only algebraic computation. Furthermore, this method enables us to derive not only the price of European options but also the price of options with an early exercise feature, such as Bermudan options and American options.
Publication Year: 2019
Publication Date: 2019-07-09
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot