On the multiplicity of option prices under CEV with positive elasticity of variance

DOI10.1007/S11147-016-9122-2zbMath1417.91515OpenAlexW2330318376WikidataQ59518172 ScholiaQ59518172MaRDI QIDQ1621639

Dirk Veestraeten

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-016-9122-2

zbMATH Keywords

put-call parityoption pricingbubblesconstant elasticity of variancerisk-neutral valuation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

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

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Bubbles, convexity and the Black-Scholes equation
• Analysis of continuous strict local martingales via \(h\)-transforms
• Local martingales, bubbles and option prices
• Pricing and Hedging Path-Dependent Options Under the CEV Process

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