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Choe, Hi Jun 1 Chu, Jeong Ho 1 Shin, So Jeong 1
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Recombining binomial tree for constant elasticity of variance process
Choe, Hi Jun; Chu, Jeong Ho; Shin, So Jeong - arXiv.org - 2014
The theme in this paper is the recombining binomial tree to price American put option when the underlying stock follows constant elasticity of variance(CEV) process. Recombining nodes of binomial tree are decided from finite difference scheme to emulate CEV process and the tree has a linear...
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