Simulation of the CEV process and the local martingale property

DOI10.1016/j.matcom.2011.12.006zbMath1237.91218MaRDI QIDQ419443

D. R. Brecher, Alan 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

zbMATH Keywords

Bessel process; local martingale; CEV process

Mathematics Subject Classification ID

91G80: Financial applications of other theories

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

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Approximation of Non-Lipschitz SDEs by Picard Iterations, Dirichlet Forms and Finite Element Methods for the SABR Model, Effective Markovian projection: application to CMS spread options and mid-curve swaptions, LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS, Multilevel Monte Carlo simulation for the Heston stochastic volatility model, Analytical approximation of the transition density in a local volatility model, Black-Scholes in a CEV random environment, Computing the CEV option pricing formula using the semiclassical approximation of path integral, A path-independent approach to integrated variance under the CEV model

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