A note on options and bubbles under the CEV model: implications for pricing and hedging
From MaRDI portal
Publication:2211013
DOI10.1007/s11147-019-09164-xzbMath1451.91196OpenAlexW2975140234WikidataQ127250563 ScholiaQ127250563MaRDI QIDQ2211013
José Carlos Dias, Aricson Cruz, João Pedro Vidal Nunes
Publication date: 10 November 2020
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-019-09164-x
Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- An alternative approach to the valuation of American options and applications
- Bubbles, convexity and the Black-Scholes equation
- Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient
- Analysis of continuous strict local martingales via \(h\)-transforms
- A general version of the fundamental theorem of asset pricing
- A note on option pricing for the constant elasticity of variance model
- Rational equilibrium asset-pricing bubbles in continuous trading models
- On the multiplicity of option prices under CEV with positive elasticity of variance
- Fragility of arbitrage and bubbles in local martingale diffusion models
- Local martingales, bubbles and option prices
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Volatility skews and extensions of the Libor market model
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- On the computation of option prices and Greeks under the CEV model
- Shout options: A framework for pricing contracts which can be modified by the investor
This page was built for publication: A note on options and bubbles under the CEV model: implications for pricing and hedging
