Pricing and Hedging Path-Dependent Options Under the CEV Process
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Cited in
(only showing first 100 items - show all)- Option pricing with mean reversion and stochastic volatility
- Analysis of quadrature methods for pricing discrete barrier options
- Monte Carlo methods for derivatives of options with discontinuous payoffs
- Optimal portfolios for DC pension plans under a CEV model
- Computationally simple lattice methods for option and bond pricing
- Pricing algorithms of multivariate path dependent options
- Volatility smile as relativistic effect
- On the multiplicity of option prices under CEV with positive elasticity of variance
- A multiquadric quasi-interpolations method for CEV option pricing model
- Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
- Approximate arbitrage-free option pricing under the SABR model
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
- Reaching nirvana with a defaultable asset?
- Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
- The \textit{CEV} model and its application in a study of optimal investment strategy
- Continuous-time mean-variance portfolio selection under the CEV process
- Turbo warrants under hybrid stochastic and local volatility
- Laplace transform method for pricing American CEV strangles option with two free boundaries
- Mean-variance portfolio selection under a constant elasticity of variance model
- Pricing volatility derivatives under the modified constant elasticity of variance model
- Sequential maximum likelihood estimation for the parameter of the linear drift term of the Rayleigh diffusion process
- Numerical methods for pricing American options with time-fractional PDE models
- Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
- Revisiting corporate growth options in the presence of state-dependent cashflow risk
- Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Pricing American drawdown options under Markov models
- Constant elasticity of variance models with target zones
- Valuing American-style options under the CEV model: an integral representation based method
- Option pricing for path-dependent options with assets exposed to multiple defaults risk
- Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model
- A note on options and bubbles under the CEV model: implications for pricing and hedging
- Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance
- Pricing variance swaps under hybrid CEV and stochastic volatility
- Computing the CEV option pricing formula using the semiclassical approximation of path integral
- An efficient numerical method for pricing American put options under the CEV model
- A path-independent approach to integrated variance under the CEV model
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- Efficient and high accuracy pricing of barrier options under the CEV diffusion
- Systematic equity-based credit risk: A CEV model with jump to default
- American step options
- Equity-linked security pricing and greeks at arbitrary intermediate times using Brownian bridge
- Classes of elementary function solutions to the CEV model I
- Pricing and exercising American options: an asymptotic expansion approach
- Portfolio optimization for pension plans under hybrid stochastic and local volatility.
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- The stochastic Rayleigh diffusion model: Statistical inference and computational aspects. applications to modelling of real cases
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Asymptotic approach to the pricing of geometric Asian options under the CEV model
- Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
- Pricing barrier options under stochastic volatility framework
- CEV asymptotics of American options
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Spectral binomial tree: new algorithms for pricing barrier options
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Simulation of jump diffusions and the pricing of options
- Mean-variance asset-liability management under constant elasticity of variance process
- Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach
- Pricing and hedging barrier options in a hyper-exponential additive model
- Asymptotics of barrier option pricing under the CEV process
- Bessel processes, stochastic volatility, and timer options
- On certain integral functionals of squared Bessel processes
- A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
- Asymptotic approximations for pricing derivatives under mean-reverting processes
- Multivariate subordination of Markov processes with financial applications
- Lookback option prices under a spectrally negative tempered-stable model
- Empirical analysis and calibration of the CEV process for pricing equity default swaps
- Asymptotics for Rough Stochastic Volatility Models
- Pricing exotic derivatives exploiting structure
- Optimal control of European double barrier basket options
- Path-dependent option pricing based on stochastic volatility model
- Time-changed Markov processes in unified credit-equity modeling
- The square-root process and Asian options
- Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
- PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
- A general framework for pricing Asian options under Markov processes
- Path integral pricing of Asian options on state-dependent volatility models
- CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT
- PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
- Comparison results for path-dependent options
- Real-world pricing for a modified constant elasticity of variance model
- Turbo warrants under stochastic volatility
- THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS
- Barrier option pricing by branching processes
- On inferring standard deviations from path dependent options
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- scientific article; zbMATH DE number 1556675 (Why is no real title available?)
- An analytical approximation for pricing VWAP options
- Equity-linked annuities with multiscale hybrid stochastic and local volatility
- Recombining tree approximations for optimal stopping for diffusions
- MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
- Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
- scientific article; zbMATH DE number 1897420 (Why is no real title available?)
- Pricing equity default swaps under the jump-to-default extended CEV model
- Pricing a Class of American and European Path Dependent Securities
- First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers
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