Consistent pricing and hedging for a modified constant elasticity of variance model

DOI10.1080/14697688.2002.0000013MaRDI QIDQ4647231zbMATH OpenOpenAlexFDO

Authors Eckhard Platen, David Heath

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2002.0000013

zbMATH Keywords

consistent pricing and hedgingoptimal portfoliovariance model

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(8)

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• Pricing volatility derivatives under the modified constant elasticity of variance model
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• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Empirical Performance of the Constant Elasticity Variance Option Pricing Model
• A tractable model for indices approximating the growth optimal portfolio
• A multiscale correction to the Black-Scholes formula
• A new type of CEV model: properties, comparison, and application to portfolio optimization

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