Simulation of the CEV process and the local martingale property

DOI10.1016/J.MATCOM.2011.12.006MaRDI QIDQ419443zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

CEV processBessel processlocal martingale

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3883355 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
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• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• scientific article; zbMATH DE number 3304501 (Why is no real title available?)
• A survey and some generalizations of Bessel processes
• Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
• Mathematical methods for financial markets.
• Potential operators associated with absorbing Bessel processes
• Stochastic Calculus
• The noncentral chi-squared distribution with zero degrees of freedom and testing for uniformity
• The pricing of options and corporate liabilities
• Two singular diffusion problems

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
• Black-Scholes in a CEV random environment
• Left-wing asymptotics of the implied volatility in the presence of atoms
• 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
• Effective Markovian projection: application to CMS spread options and mid-curve swaptions
• Pricing levered warrants under the CEV diffusion model

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