Search Results - subject:"CEV Model"

The role of the corporate ethical virtues model in sustainability reporting

Pezzolo, Marino; Monaci, Massimiliano - In: Corporate social responsibility and environmental management 32 (2025) 1, pp. 881-893

Persistent link: https://www.econbiz.de/10015333119

Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks

Yao, Jing (contributor); Hu, Xiang (contributor); … - 2024

Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...

Persistent link: https://www.econbiz.de/10015325017

Pricing levered warrants under the CEV diffusion model

Glória, Carlos Miguel; Dias, José Carlos; Cruz, Aricson - In: Review of derivatives research 27 (2024) 1, pp. 55-84

Persistent link: https://www.econbiz.de/10015133908

Life-cycle planning with CEV model and time-inconsistent preferences

Wang, Hao; Hu, Shujie; Siu, Tak Kuen; Wang, Rongming; … - In: International review of economics & finance : IREF 96 (2024) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10015203035

Effectiveness of deterministic option pricing models : new evidence from Nifty and Bank Nifty Index options

Singh, Vipul Kumar; Kumar, Pawan - In: The journal of asset management : a major new, … 25 (2024) 2, pp. 172-189

Persistent link: https://www.econbiz.de/10014511683

The SEV-SV model : applications in portfolio optimization

Escobar, Marcos; Fan, Weili - In: Risks : open access journal 11 (2023) 2, pp. 1-34

This paper introduces and studies a new family of diffusion models for stock prices with applications in portfolio optimization. The diffusion model combines (stochastic) elasticity of volatility (EV) and stochastic volatility (SV) to create the SEV-SV model. In particular, we focus on the SEV...

Persistent link: https://www.econbiz.de/10014234313

Robust optimal excess-of-loss reinsurance and investment problem with p-thinning dependent risks under CEV model

Mao, Lei; Zhang, Yan - In: Quantitative finance and economics 5 (2021) 1, pp. 134-162

Persistent link: https://www.econbiz.de/10012586952

Pricing maximum-minimum bidirectional options in trinomial CEV model

Peng, Bin; Peng, Fei - In: Journal of Economics, Finance and Administrative Science 21 (2016) 41, pp. 50-55

variance (CEV) model, a combining trinomial tree was structured to approximate the non-constant volatility that is a function … trinomial CEV model. Numerical results demonstrate the validity and the convergence of the approach mentioned above for the … different parameter values set in the trinomial CEV model. …

Persistent link: https://www.econbiz.de/10011859389

Pricing maximum-minimum bidirectional options in trinomial CEV model

Peng, Bin; Peng, Fei - In: Journal of economics, finance & administrative science 21 (2016) 41, pp. 50-55

Persistent link: https://www.econbiz.de/10011875160

Pricing volatility derivatives under the modified constant elasticity of variance model

Chan, Leunglung; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344235