In this paper, we study the convergence of the inverse Laplace transform for valuing American put options when the dynamics of the risky asset is governed by the constant elasticity of variance (CEV) model. The CEV model is one popular alternative of the Black-Scholes model to describe well the real financial market. We calculate various coefficients explicitly and prove that the inverse Laplace transform converges absolutely using the properties of Whittaker functions.
Bibliographical noteFunding Information:
The research of Jo was supported by the National Research Foundation of Korea grant funded by the Korea government (MSIP) ( NRF-2015R1C1A1A01053719 ). The research of Kim was supported by the National Research Foundation of Korea grant funded by the Korea government (MSIP) ( NRF-2015R1C1A1A02037533 ) and BK21 PLUS SNU Mathematical Sciences Division.
All Science Journal Classification (ASJC) codes
- Computational Mathematics
- Applied Mathematics