On the computation of option prices and Greeks under the CEV model

DOI10.1080/14697688.2013.765958zbMath1281.91188OpenAlexW2050283284MaRDI QIDQ5397428

José Carlos Dias, Manuela Larguinho, Carlos A. dos Santos Braumann

Publication date: 20 February 2014

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

Full work available at URL: http://hdl.handle.net/10174/10496

zbMATH Keywords

option pricingstatistical methodscomputational financederivatives hedging

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Approximate arbitrage-free option pricing under the SABR model ⋮ Equity-linked annuities with multiscale hybrid stochastic and local volatility ⋮ Valuing American-style options under the CEV model: an integral representation based method ⋮ Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable ⋮ Fast Greeks by simulation: the block adjoint method with memory reduction ⋮ Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model ⋮ Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods ⋮ A note on options and bubbles under the CEV model: implications for pricing and hedging ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model ⋮ Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model ⋮ Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes ⋮ The fractional and mixed-fractional CEV model ⋮ The early exercise boundary under the jump to default extended CEV model

Uses Software

• AS 231

Cites Work

• The Pricing of Options and Corporate Liabilities
• A jump to default extended CEV model: an application of Bessel processes
• Computing discrete mixtures of continuous distributions: noncentral chisquare, noncentral \(t\) and the distribution of the square of the sample multiple correlation coefficient
• Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process
• The risk-shifting effect and the value of a warrant
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Algorithm AS 231: The Distribution of a Noncentral Χ 2 Variable with Nonnegative Degrees of Freedom
• An approximation for the noncentral chi-squared distribution
• Computation of the Noncentral Gamma Distribution
• Approximations to the non-central chi-square distribution
• Option pricing: A simplified approach
• A Wiener Germ approximation of the noncentral chi square distribution and of its quantiles

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