New approach and analysis of the generalized constant elasticity of variance model
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Publication:6581468
DOI10.1002/asmb.2730MaRDI QIDQ6581468
Ji-Hun Yoon, Takwon Kim, Ki-Ahm Lee, Inyoung Kim
Publication date: 30 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
asymptotic expansionoption pricingMonte Carlo simulationgeneralized constant elasticity of varianceoption data fit
Cites Work
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing under hybrid stochastic and local volatility
- Option pricing when underlying stock returns are discontinuous
- A multiscale correction to the Black-Scholes formula
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