Real-world pricing for a modified constant elasticity of variance model (Q3565103)
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scientific article; zbMATH DE number 5713113
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| English | Real-world pricing for a modified constant elasticity of variance model |
scientific article; zbMATH DE number 5713113 |
Statements
Real-World Pricing for a Modified Constant Elasticity of Variance Model (English)
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27 May 2010
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benchmark approach
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real-world pricing
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growth optimal portfolio
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constant elasticity of variance
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zero-coupon bonds
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exchange prices
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interest rate caps and floors
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0.8063591718673706
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0.7891976833343506
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0.7799386382102966
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0.7728330492973328
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0.7533167600631714
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