Numerical Solution of American Put Options Pricing with Transaction Cost in the CEV Model
Guojun Yuan, Qingxian Xiao
Available Online June 2013.
- 10.2991/icetis-13.2013.117How to use a DOI?
- Option Pricing; American Options; CEV Process; Transaction Cost; Semidiscretization
In order to solve the American put options pricing and its numerical solution problems under the CEV model with transaction cost, by using the Itô formula and the no-arbitrage principle, the American put options pricing model and linear complementarity partial differential equation of the model are derived in this paper. Then the semi-discretization difference scheme for the American put options pricing model is developed, based on using semi-discretization for the spatial variable. Lastly, numerical experiments show that the semi-discretization difference scheme is a stable and convergent algorithm.
- © 2013, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Guojun Yuan AU - Qingxian Xiao PY - 2013/06 DA - 2013/06 TI - Numerical Solution of American Put Options Pricing with Transaction Cost in the CEV Model BT - Proceedings of the 2013 the International Conference on Education Technology and Information System (ICETIS 2013) PB - Atlantis Press SP - 522 EP - 525 SN - 1951-6851 UR - https://doi.org/10.2991/icetis-13.2013.117 DO - 10.2991/icetis-13.2013.117 ID - Yuan2013/06 ER -