Pages that link to "Item:Q1425568"

The following pages link to A note on option pricing for the constant elasticity of variance model (Q1425568):

Displaying 46 items.

• Simulation of the CEV process and the local martingale property (Q419443) (← links)
• Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
• A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion (Q466991) (← links)
• Pricing turbo warrants under stochastic elasticity of variance (Q508292) (← links)
• Solutions and simulations of some one-dimensional stochastic differential equations (Q607569) (← links)
• The \(CEV\) model and its application to financial markets with volatility uncertainty (Q724483) (← links)
• A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
• Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics (Q904606) (← links)
• Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation (Q947921) (← links)
• No arbitrage without semimartingales (Q1024894) (← links)
• On the multiplicity of option prices under CEV with positive elasticity of variance (Q1621639) (← links)
• Approximate arbitrage-free option pricing under the SABR model (Q1655765) (← links)
• Kim and Omberg revisited: the duality approach (Q1657919) (← links)
• Reaching nirvana with a defaultable asset? (Q1693840) (← links)
• A new fourth-order numerical scheme for option pricing under the CEV model (Q1761588) (← links)
• The sub-fractional CEV model (Q2068536) (← links)
• Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case (Q2088813) (← links)
• A note on options and bubbles under the CEV model: implications for pricing and hedging (Q2211013) (← links)
• On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth (Q2214250) (← links)
• Computing the CEV option pricing formula using the semiclassical approximation of path integral (Q2223839) (← links)
• CEV model equipped with the long-memory (Q2226287) (← links)
• Systematic equity-based credit risk: A CEV model with jump to default (Q2271610) (← links)
• Local time and the pricing of path-dependent options (Q2430252) (← links)
• A note on the CIR process and the existence of equivalent martingale measures (Q2482116) (← links)
• Equivalent and absolutely continuous measure changes for jump-diffusion processes (Q2572390) (← links)
• A PDE approach to jump-diffusions (Q2994851) (← links)
• Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing (Q3079739) (← links)
• Pricing the constant elasticity of variance trinary option (Q3109340) (← links)
• Option pricing in a CEV model with liquidity costs (Q3178199) (← links)
• Real-World Pricing for a Modified Constant Elasticity of Variance Model (Q3565103) (← links)
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS (Q4528082) (← links)
• Approximation of Non-Lipschitz SDEs by Picard Iterations (Q4559473) (← links)
• The survival probability of the SABR model: asymptotics and application (Q4619520) (← links)
• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH (Q4635040) (← links)
• On the martingale property of stochastic exponentials (Q4667990) (← links)
• Portfolio choices and VaR constraint with a defaultable asset (Q4683102) (← links)
• A new methodology to estimate constant elasticity of variance (Q5076607) (← links)
• On the Euler–Maruyama Scheme for Degenerate Stochastic Differential Equations with Non-sticky Condition (Q5126527) (← links)
• Empirical Performance of the Constant Elasticity Variance Option Pricing Model (Q5139466) (← links)
• The principle of not feeling the boundary for the SABR model (Q5234301) (← links)
• On the equivalence of the static and dynamic asset allocation problems (Q5484641) (← links)
• Local volatility function models under a benchmark approach (Q5484644) (← links)
• A Stochastic Volatility Alternative to SABR (Q5504162) (← links)
• Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions (Q6067798) (← links)
• Implied higher order moments in the Heston model: a case study of S\&P500 index (Q6089406) (← links)
• Finite maturity caps and floors on continuous flows under the constant elasticity of variance process (Q6586283) (← links)