Pricing volatility derivatives under the modified constant elasticity of variance model
From MaRDI portal
Publication:1785394
DOI10.1016/j.orl.2015.05.009zbMath1408.91208OpenAlexW2296373944MaRDI QIDQ1785394
Leunglung Chan, Eckhard Platen
Publication date: 28 September 2018
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/36678
Related Items (2)
A closed-form formula for pricing variance swaps on commodities ⋮ OPTION PRICING USING STOCHASTIC VOLATILITY MODEL UNDER FOURIER TRANSFORM OF NONLINEAR DIFFERENTIAL EQUATION
Cites Work
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
- The calculation of expectations for classes of diffusion processes by Lie symmetry methods
- Asymptotic and exact pricing of options on variance
- Option valuation under a regime-switching constant elasticity of variance process
- A new approach for option pricing under stochastic volatility
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
- Real-World Pricing for a Modified Constant Elasticity of Variance Model
- CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
- Volatility skews and extensions of the Libor market model
- Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
- Consistent pricing and hedging for a modified constant elasticity of variance model
- Numerical Inversion of Laplace Transforms of Probability Distributions
This page was built for publication: Pricing volatility derivatives under the modified constant elasticity of variance model
