Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy
提出一种新的早期行权溢价表征，适用于恒定弹性方差模型下的美式期权定价，尤其对中长期合约效果最佳，并扩展至可违约股票的美式期权估值。
Abstract This paper proposes an alternative characterization of the early exercise premium that is valid for any Markovian and diffusion underlying price process as well as for any parameterization of the exercise boundary. This new representation is shown to provide the best pricing alternative available in the literature for medium- and long-term American option contracts, under the constant elasticity of variance model. Moreover, the proposed pricing methodology is also extended easily to the valuation of American options on defaultable equity and possesses appropriate asymptotic properties.