A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion

DOI10.1016/J.SPL.2014.07.004zbMath1328.60161OpenAlexW2078983403MaRDI QIDQ466991

Jeong-Hoon Kim, Sang-Hyeon Park

Publication date: 3 November 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.07.004

zbMATH Keywords

stochastic differential equationasymptotic expansionlookback optionconstant elasticitypath-dependent optionrecursive pricing formulavariance diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Asymptotic option pricing under the CEV diffusion
• A note on option pricing for the constant elasticity of variance model
• A semi-analytic pricing formula for lookback options under a general stochastic volatility model
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Stochastic differential equations. An introduction with applications.
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