On the computation of option prices and Greeks under the CEV model
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Publication:5397428
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Cites work
- A jump to default extended CEV model: an application of Bessel processes
- A Wiener Germ approximation of the noncentral chi square distribution and of its quantiles
- Algorithm AS 231: The Distribution of a Noncentral Χ 2 Variable with Nonnegative Degrees of Freedom
- An approximation for the noncentral chi-squared distribution
- Approximations to the non-central chi-square distribution
- Computation of the Noncentral Gamma Distribution
- Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient
- Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process
- Option pricing: A simplified approach
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- The pricing of options and corporate liabilities
- The risk-shifting effect and the value of a warrant
Cited in
(23)- A multiquadric quasi-interpolations method for CEV option pricing model
- Approximate arbitrage-free option pricing under the SABR model
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
- A new fourth-order numerical scheme for option pricing under the CEV model
- Valuing American-style options under the CEV model: an integral representation based method
- A note on options and bubbles under the CEV model: implications for pricing and hedging
- Computing the CEV option pricing formula using the semiclassical approximation of path integral
- The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
- The fractional and mixed-fractional CEV model
- Estimating the constant elasticity of variance model with data-driven Markov chain Monte Carlo methods
- Pricing the constant elasticity of variance trinary option
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Fast Greeks by simulation: the block adjoint method with memory reduction
- OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
- Equity-linked annuities with multiscale hybrid stochastic and local volatility
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
- Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
- Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
- Pricing levered warrants under the CEV diffusion model
- Finite maturity caps and floors on continuous flows under the constant elasticity of variance process
- The early exercise boundary under the jump to default extended CEV model
- Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
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