CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS

DOI10.1142/S0219024900000814zbMATH Open1006.91050OpenAlexW3125898620MaRDI QIDQ4528082FDOQ4528082

Cho-Hoi Hui, P. H. Yuen, Chi-Fai Lo

Publication date: 18 March 2003

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024900000814

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zbMATH Keywords

constant elasticity of varianceoption pricing model

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Lie Algebraic Solution of Linear Differential Equations
• Coherent-state propagator of two coupled generalized time-dependent parametric oscillators.

Cited In (25)

• On valuation of derivative securities: A Lie group analytical approach.
• Systematic equity-based credit risk: A CEV model with jump to default
• Constant elasticity of variance model for proportional reinsurance and investment strategies
• Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation
• Efficient and high accuracy pricing of barrier options under the CEV diffusion
• An accurate European option pricing model under fractional stable process based on Feynman path integral
• A note on the CIR process and the existence of equivalent martingale measures
• Lie theory: Applications to problems in mathematical finance and economics
• Optimal portfolios for DC pension plans under a CEV model
• Empirical Performance of the Constant Elasticity Variance Option Pricing Model
• Pricing volatility derivatives under the modified constant elasticity of variance model
• A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion
• Pricing and hedging vulnerable option with funding costs and collateral
• Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
• Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
• OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
• Valuing time-dependent CEV barrier options
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
• SELF EXCITING THRESHOLD INTEREST RATES MODELS
• Lie-algebraic approach for pricing moving barrier options with time-dependent parameters
• Real-World Pricing for a Modified Constant Elasticity of Variance Model
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
• Fast and accurate calculation of American option prices
• The \textit{CEV} model and its application in a study of optimal investment strategy

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