Simulation of the CEV process and the local martingale property
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Publication:419443
DOI10.1016/j.matcom.2011.12.006zbMath1237.91218OpenAlexW2059743437MaRDI QIDQ419443
D. R. Brecher, Alan E. Lindsay
Publication date: 18 May 2012
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2011.12.006
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (9)
Black-Scholes in a CEV random environment ⋮ Approximation of Non-Lipschitz SDEs by Picard Iterations ⋮ Effective Markovian projection: application to CMS spread options and mid-curve swaptions ⋮ Dirichlet Forms and Finite Element Methods for the SABR Model ⋮ Multilevel Monte Carlo simulation for the Heston stochastic volatility model ⋮ Analytical approximation of the transition density in a local volatility model ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ A path-independent approach to integrated variance under the CEV model ⋮ LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS
Cites Work
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- The Pricing of Options and Corporate Liabilities
- Mathematical methods for financial markets.
- Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
- Potential operators associated with absorbing Bessel processes
- A survey and some generalizations of Bessel processes
- Two singular diffusion problems
- The noncentral chi-squared distribution with zero degrees of freedom and testing for uniformity
- Stochastic Calculus
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