Displaced Diffusion as an Approximation of the Constant Elasticity of Variance

DOI10.1080/13504860802628553zbMath1180.91295OpenAlexW1980999001MaRDI QIDQ3652697

Simona Svoboda-Greenwood

Publication date: 16 December 2009

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

Full work available at URL: https://doi.org/10.1080/13504860802628553

zbMATH Keywords

option pricingasymptotic expansionsdisplaced diffusionconstant elasticity of variance (CEV)

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

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Uses Software

• AS 275

Cites Work

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• Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
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• A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL
• Stochastic Volatility Model with Time‐dependent Skew