Valuing American-style options under the CEV model: an integral representation based method |
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| Authors: | Cruz Aricson Dias José Carlos |
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| Affiliation: | 1.Business Research Unit (BRU-IUL), Instituto Universitário de Lisboa (ISCTE-IUL), Edifício II, Av. Prof. Aníbal Bettencourt, 1600-189, Lisbon, Portugal
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| Abstract: | Review of Derivatives Research - This article derives a new integral representation of the early exercise boundary for valuing American-style options under the constant elasticity of variance (CEV)... |
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