Real-world pricing for a modified constant elasticity of variance model

DOI10.1080/13504860903155035zbMATH Open1229.91293OpenAlexW2124485361MaRDI QIDQ3565103FDOQ3565103

Authors: Shane Miller, Eckhard Platen 

Publication date: 27 May 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/8249

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zbMATH Keywords

constant elasticity of variancezero-coupon bondsgrowth optimal portfoliobenchmark approachreal-world pricingexchange pricesinterest rate caps and floors

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

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• A note on option pricing for the constant elasticity of variance model
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• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Diversified portfolios with jumps in a benchmark framework
• A two-factor model for low interest rate regimes

Cited In (4)

• ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
• Pricing and valuation under the real-world measure
• Pricing volatility derivatives under the modified constant elasticity of variance model
• Consistent pricing and hedging for a modified constant elasticity of variance model

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