Real-World Pricing for a Modified Constant Elasticity of Variance Model

DOI10.1080/13504860903155035zbMath1229.91293OpenAlexW2124485361MaRDI QIDQ3565103

Eckhard Platen, Shane Miller

Publication date: 27 May 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/8249

zbMATH Keywords

constant elasticity of variancezero-coupon bondsgrowth optimal portfoliobenchmark approachreal-world pricingexchange pricesinterest rate caps and floors

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Pricing volatility derivatives under the modified constant elasticity of variance model

Cites Work

• Unnamed Item
• Wishart processes
• A general version of the fundamental theorem of asset pricing
• The dynamics of stochastic volatility: evidence from underlying and options markets
• A note on option pricing for the constant elasticity of variance model
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Lookback options and diffusion hitting times: a spectral expansion approach
• Local martingales, bubbles and option prices
• A two-factor model for low interest rate regimes
• Diversified portfolios with jumps in a benchmark framework
• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• On some exponential functionals of Brownian motion
• Complications with stochastic volatility models
• CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS
• Arbitrage in continuous complete markets
• Interest rate models -- theory and practice

This page was built for publication: Real-World Pricing for a Modified Constant Elasticity of Variance Model