A note on option pricing for the constant elasticity of variance model
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Publication:1425568
DOI10.1023/A:1022269617674zbMath1072.91020OpenAlexW146201616MaRDI QIDQ1425568
Hiroshi Shirakawa, Freddy Delbaen
Publication date: 17 March 2004
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1022269617674
equivalent martingale measureoption pricingconstant elasticity of variance modelsquared Bessel processesarbitrage opportunities
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