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

DOI10.1007/S10436-017-0309-9zbMATH Open1397.91572OpenAlexW2765143961MaRDI QIDQ1648907FDOQ1648907

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

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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)

Cites Work

• The pricing of options and corporate liabilities
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• Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations
• Mean stochastic comparison of diffusions
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order
• One-dimensional stochastic differential equations involving a singular increasing process
• Distribution-free option pricing
• On comparison theorem and its applications to finance
• A benchmark approach to quantitative finance
• A general comparison theorem for backward stochastic differential equations
• Comparison of semimartingales and Lévy processes
• A Comparison Theorem for Stochastic Equations with Integrals with Respect to Martingales and Random Measures
• A new proof for comparison theorems for stochastic differential inequalities with respect to semimartingales
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Cited In (3)

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

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