Pricing and Hedging Path-Dependent Options Under the CEV Process
From MaRDI portal
Publication:3114712
DOI10.1287/mnsc.47.7.949.9804zbMath1232.91659MaRDI QIDQ3114712
Vadim Linetsky, Dmitry Davydov
Publication date: 19 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.47.7.949.9804
Ornstein-Uhlenbeck process; diffusion processes; path-dependent options; barrier options; lookback options
91G20: Derivative securities (option pricing, hedging, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
Related Items
THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE, EXACT PRICING AND LARGE-TIME ASYMPTOTICS FOR THE MODIFIED SABR MODEL AND THE BROWNIAN EXPONENTIAL FUNCTIONAL, HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS, Exact Monte Carlo simulation of killed diffusions, On the equivalence of the static and dynamic asset allocation problems, MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES, On a free boundary problem for an American put option under the CEV process, Valuing American options under the CEV model by Laplace-Carson transforms, Asymptotic option pricing under the CEV diffusion, A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time, Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model, An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts, Constant elasticity of variance model for proportional reinsurance and investment strategies, An extension of the Euler Laplace transform inversion algorithm with applications in option pricing., A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation, A jump to default extended CEV model: an application of Bessel processes, On pricing lookback options under the CEV process, Constant elasticity of variance model and analytical strategies for annuity contracts, The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts, Option pricing with mean reversion and stochastic volatility, Analysis of quadrature methods for pricing discrete barrier options, Monte Carlo methods for derivatives of options with discontinuous payoffs, Optimal portfolios for DC pension plans under a CEV model, Computationally simple lattice methods for option and bond pricing, Systematic equity-based credit risk: A CEV model with jump to default, The stochastic Rayleigh diffusion model: Statistical inference and computational aspects. applications to modelling of real cases, Simulation of jump diffusions and the pricing of options, PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL, Asymptotics of Barrier Option Pricing Under the CEV Process, Optimal control of European double barrier basket options, TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING, The square-root process and Asian options, Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options, PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE, Path integral pricing of Asian options on state-dependent volatility models, CONSTANT ELASTICITY OF VARIANCE IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE AND LEVERAGE EFFECT, Real-World Pricing for a Modified Constant Elasticity of Variance Model, Turbo warrants under stochastic volatility, THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS, BARRIER OPTION PRICING BY BRANCHING PROCESSES
