Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
Vladislav Krasin, Ivan Smirnov, Alexander Melnikov
| Year of publication: |
May 2018
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|---|---|
| Authors: | Krasin, Vladislav Y. ; Smirnov, Ivan ; Melʹnikov, Aleksandr V. |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 14.2018, 2, p. 195-209
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| Subject: | Stochastic differential equations | Comparison theorem | Option pricing | Constant elasticity of variance model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Hedging | Volatilität | Volatility | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10436-017-0309-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945591