Simulation of the CEV process and the local martingale property
DOI10.1016/J.MATCOM.2011.12.006zbMATH Open1237.91218OpenAlexW2059743437MaRDI QIDQ419443FDOQ419443
Authors: D. R. Brecher, A. E. Lindsay 
Publication date: 18 May 2012
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2011.12.006
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial applications of other theories (91G80)
Cites Work
- The pricing of options and corporate liabilities
- Two singular diffusion problems
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- Mathematical methods for financial markets.
- A survey and some generalizations of Bessel processes
- Stochastic Calculus
- Potential operators associated with absorbing Bessel processes
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- The noncentral chi-squared distribution with zero degrees of freedom and testing for uniformity
- Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
Cited In (12)
- Computing the CEV option pricing formula using the semiclassical approximation of path integral
- A path-independent approach to integrated variance under the CEV model
- CEV model equipped with the long-memory
- Approximation of non-Lipschitz SDEs by Picard iterations
- Left-wing asymptotics of the implied volatility in the presence of atoms
- Black-Scholes in a CEV random environment
- Dirichlet forms and finite element methods for the SABR model
- Multilevel Monte Carlo simulation for the Heston stochastic volatility model
- Displaced diffusion as an approximation of the constant elasticity of variance
- Detecting asset price bubbles using deep learning
- Pricing levered warrants under the CEV diffusion model
- Effective Markovian projection: application to CMS spread options and mid-curve swaptions
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