Real-World Pricing for a Modified Constant Elasticity of Variance Model (Q3565103): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2124485361
@@ Property / OpenAlex ID: W2124485361 / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice
@@ Property / cites work: Interest rate models -- theory and practice / rank @@
+Normal rank
@@ Property / cites work @@
+Wishart processes
@@ Property / cites work: Wishart processes / rank @@
+Normal rank
@@ Property / cites work @@
+Local martingales, bubbles and option prices
@@ Property / cites work: Local martingales, bubbles and option prices / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging Path-Dependent Options Under the CEV Process
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+A note on option pricing for the constant elasticity of variance model
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
+Normal rank
@@ Property / cites work @@
+The dynamics of stochastic volatility: evidence from underlying and options markets
+Normal rank
@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+Lookback options and diffusion hitting times: a spectral expansion approach
+Normal rank
@@ Property / cites work @@
+CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
+Normal rank
@@ Property / cites work @@
+Local martingales, arbitrage, and viability. Free snacks and cheap thrills
+Normal rank
@@ Property / cites work @@
+A two-factor model for low interest rate regimes
@@ Property / cites work: A two-factor model for low interest rate regimes / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage in continuous complete markets
@@ Property / cites work: Arbitrage in continuous complete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Diversified portfolios with jumps in a benchmark framework
+Normal rank
@@ Property / cites work @@
+Complications with stochastic volatility models
@@ Property / cites work: Complications with stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+On some exponential functionals of Brownian motion
+Normal rank