Asymptotic option pricing under the CEV diffusion

DOI10.1016/j.jmaa.2010.09.060zbMath1202.91324OpenAlexW1971290283MaRDI QIDQ615913

Sang-Hyeon Park, Jeong-Hoon Kim

Publication date: 7 January 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2010.09.060

zbMATH Keywords

asymptotic expansionoption pricingerror estimatelookback optionbarrier optionconstant elasticity of variance

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Pricing of vulnerable options under hybrid stochastic and local volatility ⋮ Asymptotic approach to the pricing of geometric Asian options under the CEV model ⋮ Optimal investment strategy for a family with a random household expenditure under the CEV model ⋮ Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model ⋮ CEV asymptotics of American options ⋮ A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion ⋮ Turbo warrants under hybrid stochastic and local volatility ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE ⋮ Pricing turbo warrants under stochastic elasticity of variance ⋮ Homotopy analysis method for option pricing under stochastic volatility ⋮ Unnamed Item ⋮ A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING ⋮ CCF approach for asymptotic option pricing under the CEV diffusion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Matching asymptotics in path-dependent option pricing
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Transformation des martingales locales par changement absolument continu de probabilities
• On Distributions of Certain Wiener Functionals

This page was built for publication: Asymptotic option pricing under the CEV diffusion