The \(CEV\) model and its application to financial markets with volatility uncertainty
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Publication:724483
DOI10.1016/j.cam.2018.05.015zbMath1457.91394OpenAlexW2804217176MaRDI QIDQ724483
Publication date: 26 July 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.05.015
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15)
Related Items (5)
Family optimal investment strategy for a random household expenditure under the CEV model ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ Data driven confidence intervals for diffusion process using double smoothing empirical likelihood ⋮ Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses ⋮ The fractional and mixed-fractional CEV model
Cites Work
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- Financial markets with volatility uncertainty
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- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
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- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Globally robust stability analysis for stochastic Cohen-Grossberg neural networks with impulse control and time-varying delays
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Dynamic variational preferences
- Coherent Measures of Risk
- An Optimal Investment/Consumption Model with Borrowing
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Mean square exponential stability of stochastic delay cellular neural networks
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