Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes

DOI10.1007/S10436-017-0309-9MaRDI QIDQ1648907zbMATH OpenOpenAlexFDO

Authors Vladislav Krasin, Ivan Smirnov, Alexander Melnikov

Publication date 5 July 2018

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-017-0309-9

zbMATH Keywords

option pricingcomparison theoremstochastic differential equationsconstant elasticity of variance model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 3678877 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
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• Comparison of semimartingales and Lévy processes
• Distribution-free option pricing
• Financial Modelling with Jump Processes
• Mean stochastic comparison of diffusions
• Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations
• On a comparison theorem for solutions of stochastic differential equations and its applications
• On comparison theorem and its applications to finance
• One-dimensional stochastic differential equations involving a singular increasing process
• The pricing of options and corporate liabilities
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order

Cited in

(3)

• Pricing and Hedging Path-Dependent Options Under the CEV Process
• On comparison theorem for optional SDEs via local times and applications
• Computing the CEV option pricing formula using the semiclassical approximation of path integral

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