Real-World Pricing for a Modified Constant Elasticity of Variance Model
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Publication:3565103
DOI10.1080/13504860903155035zbMath1229.91293MaRDI QIDQ3565103
Publication date: 27 May 2010
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/8249
constant elasticity of variance; zero-coupon bonds; growth optimal portfolio; benchmark approach; real-world pricing; exchange prices; interest rate caps and floors
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