A note on options and bubbles under the CEV model: implications for pricing and hedging (Q2211013)
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scientific article; zbMATH DE number 7272117
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| English | A note on options and bubbles under the CEV model: implications for pricing and hedging |
scientific article; zbMATH DE number 7272117 |
Statements
A note on options and bubbles under the CEV model: implications for pricing and hedging (English)
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10 November 2020
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bubbles
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CEV model
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greeks
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option pricing
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put-call parity
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local martingales
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0.8558943271636963
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0.8148618340492249
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0.8039982914924622
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0.8033395409584045
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0.8014479875564575
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