英文标题：
《Recombining binomial tree for constant elasticity of variance process》
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作者：
Hi Jun Choe, Jeong Ho Chu and So Jeong Shin
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最新提交年份：
2014
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英文摘要：
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 complexity. Also it is derived from the differential equation the asymptotic envelope of the boundary of tree. Conducting numerical experiments, we confirm the convergence and accuracy of the pricing by our recombining binomial tree method. As a result, we can compute the price of American put option under CEV model, effectively.
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中文摘要：
本文研究的主题是当标的股票遵循恒定方差弹性（CEV）过程时，重组二叉树对美式看跌期权进行定价。二叉树的重组节点由有限差分格式决定，以模拟CEV过程，该树具有线性复杂度。由微分方程导出了树的边界的渐近包络。通过数值实验，我们用重组二叉树方法验证了定价的收敛性和准确性。因此，我们可以在CEV模型下有效地计算美式看跌期权的价格。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics 数学
二级分类：Numerical Analysis 数值分析
分类描述：Numerical algorithms for problems in analysis and algebra, scientific computation
分析和代数问题的数值算法，科学计算
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