Consistent pricing and hedging for a modified constant elasticity of variance model

DOI10.1080/14697688.2002.0000013zbMath1405.91556OpenAlexW2052558125MaRDI QIDQ4647231

Eckhard Platen, David C. Heath

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2002.0000013

zbMATH Keywords

optimal portfoliovariance modelconsistent pricing and hedging

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Optimal portfolio management in a modified constant elasticity of variance model ⋮ A tractable model for indices approximating the growth optimal portfolio ⋮ Pricing volatility derivatives under the modified constant elasticity of variance model

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