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

DOI10.1080/13504860903155035MaRDI QIDQ3565103zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
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• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Complications with stochastic volatility models
• Diversified portfolios with jumps in a benchmark framework
• Interest rate models -- theory and practice
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Local martingales, bubbles and option prices
• Lookback options and diffusion hitting times: a spectral expansion approach
• On some exponential functionals of Brownian motion
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Two singular diffusion problems
• Wishart processes

Cited in

(4)

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

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