A note on options and bubbles under the CEV model: implications for pricing and hedging
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Publication:2211013
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Cites work
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- A general version of the fundamental theorem of asset pricing
- A note on option pricing for the constant elasticity of variance model
- An alternative approach to the valuation of American options and applications
- Analysis of continuous strict local martingales via \(h\)-transforms
- Bubbles, convexity and the Black-Scholes equation
- Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient
- Fragility of arbitrage and bubbles in local martingale diffusion models
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- Local martingales, bubbles and option prices
- On the computation of option prices and Greeks under the CEV model
- On the multiplicity of option prices under CEV with positive elasticity of variance
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
- Rational equilibrium asset-pricing bubbles in continuous trading models
- Shout options: A framework for pricing contracts which can be modified by the investor
- The pricing of options and corporate liabilities
- Volatility skews and extensions of the Libor market model
Cited in
(12)- A note on option pricing for the constant elasticity of variance model
- Displaced diffusion as an approximation of the constant elasticity of variance
- Simulation of the CEV process and the local martingale property
- Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model
- A delayed stochastic volatility correction to the constant elasticity of variance model
- scientific article; zbMATH DE number 6452941 (Why is no real title available?)
- On the computation of option prices and Greeks under the CEV model
- Pricing levered warrants under the CEV diffusion model
- Finite maturity caps and floors on continuous flows under the constant elasticity of variance process
- Detecting asset price bubbles using deep learning
- Digital assets, bubbles, and derivative prices
- On the nonuniqueness in the option evaluation problem
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