Analyzing the American portfolio options within the CEV model incorporating dividend yield by the Lie symmetry approach
Author:
Affiliation:
1. College of Electrical and Mechanical Engineering, National University of Sciences and Technology, Rawalpindi, Pakistan
2. IRC-SES, King Fahd University of Petroleum and Minerals, Dhahran, Saudi Arabia
Publisher
American Institute of Mathematical Sciences (AIMS)
Reference50 articles.
1. A. A. Araneda and N. Bertschinger, The sub-fractional CEV model, Physica A: Stat. Mech. Appl., 573 (2021), Paper No. 125974, 9 pp.
A. A. Araneda and N. Bertschinger, The sub-fractional CEV model, Physica A: Stat. Mech. Appl., 573 (2021), Paper No. 125974, 9 pp.
2. T. Aziz, On the resolution of a remarkable bond pricing model from financial mathematics: Application of the deductive group theoretical technique, Math. Prob. Eng., (2021), Art. ID 9974073, 10 pp.
T. Aziz, On the resolution of a remarkable bond pricing model from financial mathematics: Application of the deductive group theoretical technique, Math. Prob. Eng., (2021), Art. ID 9974073, 10 pp.
3. Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
4. A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE
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