On the multiplicity of option prices under CEV with positive elasticity of variance
type: Item
instance of: scholarly article
title: On the multiplicity of option prices under CEV with positive elasticity of variance
zbMATH Open document ID: 1417.91515
author: Dirk Veestraeten
published in: Review of Derivatives Research
publication date: 2018-11-09T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6975968
zbMATH Keywords: bubbles
zbMATH Keywords: constant elasticity of variance
zbMATH Keywords: option pricing
zbMATH Keywords: put-call parity
zbMATH Keywords: risk-neutral valuation
MaRDI profile type: Publication
Wikidata QID: Q59518172
full work available at URL: s11147-016-9122-2
OpenAlex ID: W2330318376
cites work: The pricing of options and corporate liabilities
cites work: Local martingales, bubbles and option prices
cites work: Pricing and Hedging Path-Dependent Options Under the CEV Process
cites work: Bubbles, convexity and the Black-Scholes equation
cites work: Q4942767
cites work: Analysis of continuous strict local martingales via \(h\)-transforms
cites work: Handbook of linear partial differential equations for engineers and scientists
DOI: 10.1007/S11147-016-9122-2
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description: scientific article; zbMATH DE number 6975968