A note on option pricing for the constant elasticity of variance model
From MaRDI portal
Publication:1425568
DOI10.1023/A:1022269617674zbMath1072.91020MaRDI QIDQ1425568
Freddy Delbaen, Hiroshi Shirakawa
Publication date: 17 March 2004
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
equivalent martingale measure; option pricing; constant elasticity of variance model; squared Bessel processes; arbitrage opportunities
91G20: Derivative securities (option pricing, hedging, etc.)
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