Title:

Valuing American-Style Options under the CEV Model: An Integral Representation Based Method

Authors:

Aricson Cruz (ISCTE - Instituto Universitário de Lisboa)
José Carlos Dias (ISCTE - Instituto Universitário de Lisboa)

Journal:

Review Of Derivatives Research

Year:

2020

Volume:

23

Number:

1

Pages:

63-83

JEL code:

G13 - Contingent Pricing; Futures Pricing

DOI:

10.1007/s11147-019-09157-w