A delayed stochastic volatility correction to the constant elasticity of variance model

DOI10.1007/s10255-016-0588-3zbMath1411.91570OpenAlexW2512118255MaRDI QIDQ517196

Jeong-Hoon Kim, Min-Ku Lee

Publication date: 23 March 2017

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-016-0588-3

zbMATH Keywords

stochastic volatilityoption pricingmartingaleconstant elasticity of variance model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation

Cites Work

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• On stationary solutions of a stochastic differential equation
• Asymptotic theory of noncentered mixing stochastic differential equations
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• A stochastic delay financial model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Stochastic differential equations. An introduction with applications.

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