Pricing and Hedging Path-Dependent Options Under the CEV Process
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Publication:3114712
DOI10.1287/mnsc.47.7.949.9804zbMath1232.91659OpenAlexW2056257481MaRDI QIDQ3114712
Dmitry Davydov, Vadim Linetsky
Publication date: 19 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.47.7.949.9804
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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