Asymptotic option pricing under the CEV diffusion

DOI10.1016/j.jmaa.2010.09.060zbMath1202.91324OpenAlexW1971290283MaRDI QIDQ615913

Sang-Hyeon Park, Jeong-Hoon Kim

Publication date: 7 January 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2010.09.060

zbMATH Keywords

asymptotic expansionoption pricingerror estimatelookback optionbarrier optionconstant elasticity of variance

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Matching asymptotics in path-dependent option pricing
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Transformation des martingales locales par changement absolument continu de probabilities
• On Distributions of Certain Wiener Functionals
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