Displaced Diffusion as an Approximation of the Constant Elasticity of Variance
Year of publication: |
2009
|
---|---|
Authors: | Svoboda-Greenwood, Simona |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 16.2009, 3, p. 269-286
|
Publisher: |
Taylor & Francis Journals |
Subject: | Constant elasticity of variance (CEV) | displaced diffusion | option pricing | asymptotic expansions |
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