  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.
