Real-World Pricing for a Modified Constant Elasticity of Variance Model

DOI10.1080/13504860903155035zbMath1229.91293MaRDI QIDQ3565103

Eckhard Platen, Shane Miller

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 variance; zero-coupon bonds; growth optimal portfolio; benchmark approach; real-world pricing; exchange prices; interest rate caps and floors

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

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