Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
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Publication:947921
DOI10.1016/J.MATCOM.2007.09.012zbMath1144.91325OpenAlexW2019233289MaRDI QIDQ947921
Publication date: 8 October 2008
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2007.09.012
Related Items (19)
Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model ⋮ Option pricing in a CEV model with liquidity costs ⋮ An accurate European option pricing model under fractional stable process based on Feynman path integral ⋮ Recursive marginal quantization of higher-order schemes ⋮ Family optimal investment strategy for a random household expenditure under the CEV model ⋮ Simulation of the CEV process and the local martingale property ⋮ Portfolio selection problem with multiple risky assets under the constant elasticity of variance model ⋮ Pricing European and American options by radial basis point interpolation ⋮ Optimal investment for the defined-contribution pension with stochastic salary under a CEV model ⋮ Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model ⋮ A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE ⋮ Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model ⋮ Efficient and high accuracy pricing of barrier options under the CEV diffusion ⋮ Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model ⋮ A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion ⋮ The fractional and mixed-fractional CEV model ⋮ The sub-fractional CEV model
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