Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley

Author:

Ballestra Luca Vincenzo,Cecere Liliana

Publisher

Elsevier BV

Subject

Finance

Reference29 articles.

1. Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables;Abramowitz,1972

2. A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion;Ahmadian;Int. J. Comput. Math.,2014

3. Amos, D.E., 1985. Subroutine Package for Bessel Functions of a Complex Argument and Nonnegative Order. Technical Report, Sandia National Labs., Albuquerque, NM (USA).

4. Algorithm 644: a portable package for Bessel functions of a complex argument and nonnegative order;Amos;ACM Trans. Math. Softw. (TOMS),1986

5. The constant elasticity of variance model: calibration, test and evidence from the Italian equity market;Ballestra;Appl. Finan. Econ.,2011

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