CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS

DOI10.1142/S0219024900000814zbMath1006.91050OpenAlexW3125898620MaRDI QIDQ4528082

Cho-Hoi Hui, P. H. Yuen, Chi-Fai Lo

Publication date: 18 March 2003

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024900000814

zbMATH Keywords

constant elasticity of varianceoption pricing model

Mathematics Subject Classification ID

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

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Coherent-state propagator of two coupled generalized time-dependent parametric oscillators.
• Lie Algebraic Solution of Linear Differential Equations

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