Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes

DOI10.1007/s10436-017-0309-9zbMath1397.91572OpenAlexW2765143961MaRDI QIDQ1648907

Vladislav Krasin, Ivan Smirnov, Alexander V. Melnikov

Publication date: 5 July 2018

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-017-0309-9

zbMATH Keywords

comparison theoremoption pricingstochastic differential equationsconstant elasticity of variance model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

On comparison theorem for optional SDEs via local times and applications ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral

Cites Work

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