A new methodology to estimate constant elasticity of variance

DOI10.22034/CMDE.2020.27563.1369zbMATH Open1499.91125OpenAlexW3133685922MaRDI QIDQ5076607FDOQ5076607

Authors: Ali Beiranvand, K. Ivaz, Hamzeh Beiranvand 

Publication date: 17 May 2022

Full work available at URL: https://cmde.tabrizu.ac.ir/article_12147_ffef7bcc89eda6c48118e9a391b5216f.pdf

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zbMATH Keywords

financeconstant elasticity of variancelikelihood functionNelder-Mead algorithmparticle swarm algorithmgeneral relativity search algorithm

Mathematics Subject Classification ID

Density estimation (62G07) Approximation methods and heuristics in mathematical programming (90C59) Financial markets (91G15)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• A Simplex Method for Function Minimization
• Nonlinear Programming
• A note on option pricing for the constant elasticity of variance model
• Revisit of stochastic mesh method for pricing American options
• Pricing American options when asset prices jump

Cited In (4)

• Bayesian analysis of constant elasticity of variance models
• Properties of the elasticity of a continuous random variable. A special look at its behavior and speed of change
• Further results on pseudo-maximum likelihood estimation and testing in the constant elasticity of variance continuous time model
• Estimating the constant elasticity of variance model with data-driven Markov chain Monte Carlo methods

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