Pricing volatility derivatives under the modified constant elasticity of variance model

DOI10.1016/j.orl.2015.05.009zbMath1408.91208OpenAlexW2296373944MaRDI QIDQ1785394

Leunglung Chan, Eckhard Platen

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/36678

zbMATH Keywords

CEV modelvolatility derivativesbenchmark approach

Mathematics Subject Classification ID

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

Related Items (2)

A closed-form formula for pricing variance swaps on commodities ⋮ OPTION PRICING USING STOCHASTIC VOLATILITY MODEL UNDER FOURIER TRANSFORM OF NONLINEAR DIFFERENTIAL EQUATION

Cites Work

• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
• The calculation of expectations for classes of diffusion processes by Lie symmetry methods
• Asymptotic and exact pricing of options on variance
• Option valuation under a regime-switching constant elasticity of variance process
• A new approach for option pricing under stochastic volatility
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• Real-World Pricing for a Modified Constant Elasticity of Variance Model
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Volatility skews and extensions of the Libor market model
• Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
• Consistent pricing and hedging for a modified constant elasticity of variance model
• Numerical Inversion of Laplace Transforms of Probability Distributions

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