Pricing volatility derivatives under the modified constant elasticity of variance model (Q1785394): Difference between revisions

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+Numerical Inversion of Laplace Transforms of Probability Distributions
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+Volatility skews and extensions of the Libor market model
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+Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
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+A new approach for option pricing under stochastic volatility
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+Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
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+The calculation of expectations for classes of diffusion processes by Lie symmetry methods
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+Pricing and Hedging Path-Dependent Options Under the CEV Process
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+Option valuation under a regime-switching constant elasticity of variance process
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+Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
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+Consistent pricing and hedging for a modified constant elasticity of variance model
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+Asymptotic and exact pricing of options on variance
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+CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
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+Real-World Pricing for a Modified Constant Elasticity of Variance Model
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