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Search: subject:"constant elasticity of variance"
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Option pricing theory
24
Optionspreistheorie
24
Stochastic process
22
Stochastischer Prozess
22
Volatility
22
Volatilität
22
constant elasticity of variance
14
Portfolio selection
13
Portfolio-Management
13
Elasticity
11
Elastizität
11
Analysis of variance
10
Derivat
10
Derivative
10
Varianzanalyse
10
Option trading
9
Optionsgeschäft
9
Theorie
9
Theory
9
Black-Scholes model
7
Black-Scholes-Modell
7
CAPM
7
Constant elasticity of variance
7
Constant elasticity of variance model
7
Option pricing
7
Estimation
6
Schätzung
6
Credit risk
5
Kreditrisiko
5
Constant-Elasticity-of-Variance (CEV) Diffusion
4
Hedging
4
constant elasticity of variance model
4
growth optimal portfolio
4
Bubbles
3
CEV
3
Constant elasticity of variance (CEV)
3
Corporate Bonds
3
Credit Default Swaps
3
Equity
3
Estimation theory
3
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Undetermined
36
Free
8
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Article
46
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35
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35
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2
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2
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English
38
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16
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Platen, Eckhard
5
Rong, Ximin
4
Zhao, Hui
4
Li, Danping
3
Baldeaux, Jan
2
Campi, L.
2
Campi, Luciano
2
Carr, Peter
2
Chen, Ren-Raw
2
Jacobs, Michael <Jr.>
2
Kim, Jeong-Hoon
2
Lee, Cheng F.
2
Lee, Han-Hsing
2
Polbennikov, Simon
2
Sbuelz
2
Sbuelz, A.
2
Wu, Liuren
2
Attaoui, Sami
1
Bae, Hyeong-Ohk
1
Capriotti, Luca
1
Chen, Ping
1
Dawson, Philip J.
1
Diop, Sidy
1
Francesco, Marco Di
1
Gao, Bo
1
Gogala, Jaka
1
Gu, Ailing
1
Guo, Xianping
1
Heath, David
1
Hsu, Y. L.
1
Hsu, Y.L.
1
Hsu, Yi-Hwa
1
Ignatieva, Ekaterina
1
Ignatieva, Katja
1
Jang, Bong-Gyu
1
Jiang, Yupeng
1
Jung, Eun Ju
1
Kang, Seunggu
1
Kennedy, Joanne E.
1
Kim, Changki
1
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Finance Discipline Group, Business School
3
Dipartimento di Scienze Economiche, Facoltà di Economia
2
Tilburg University, Center for Economic Research
2
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Insurance / Mathematics & economics
3
Research Paper Series / Finance Discipline Group, Business School
3
Applied Mathematical Finance
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Discussion Paper / Tilburg University, Center for Economic Research
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Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 4
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IMA journal of management mathematics
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Insurance: Mathematics and Economics
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International journal of bonds and derivatives
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International journal of financial engineering
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Operations research letters
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The European journal of finance
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1
Applied Financial Economics
1
Applied economics letters
1
Applied mathematical finance
1
Bloomberg Portfolio Research Paper
1
Computational economics
1
Finance research letters
1
International Journal of Business and Economics
1
International Journal of Financial Markets and Derivatives : IJFMD
1
International journal of theoretical and applied finance
1
Inventi impact: emerging economies
1
Journal of agricultural economics
1
Journal of banking & finance
1
Journal of derivatives & hedge funds
1
Journal of financial and quantitative analysis : JFQA
1
Journal of mathematical finance
1
Journal of risk
1
Journal of the Operational Research Society
1
Mathematics and Computers in Simulation (MATCOM)
1
Modern economy
1
Quantitative finance
1
Review of Pacific Basin Financial Markets and Policies (RPBFMP)
1
Review of derivatives research
1
Statistics & Probability Letters
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The journal of computational finance
1
The journal of futures markets
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
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ECONIS (ZBW)
38
RePEc
16
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11
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11
Malliavin differentiability of CEV-type Heston model
Tsumurai, Shota
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 173-199
Persistent link: https://www.econbiz.de/10012545592
Saved in:
12
A simple closed-form approximation for
constant
elasticity
of
variance
spread options
Lo, C. F.
;
Zheng, X. F.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012603776
Saved in:
13
Singular diffusions,
constant
elasticity
of
variance
processes and logarithmic rates of return
Liu, Siqi
;
Melia, Adrian
;
Song, Xiaojing
;
Tippett, Mark
- In:
The European journal of finance
26
(
2020
)
9
,
pp. 837-853
Persistent link: https://www.econbiz.de/10012207313
Saved in:
14
Approximation methods for inhomogeneous geometric Brownian motion
Capriotti, Luca
;
Jiang, Yupeng
;
Shaimerdenova, Gaukhar
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012012939
Saved in:
15
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
16
Finite-maturity stock loans under the
constant
elasticity
of
variance
model
Yan, Li
;
Qin, Xiaoer
;
Li, Haoqi
- In:
Applied economics letters
26
(
2019
)
4
,
pp. 316-320
Persistent link: https://www.econbiz.de/10012204199
Saved in:
17
Sovereign CDS calibration under a hybrid sovereign risk model
Diop, Sidy
;
Pascucci, Andrea
;
Francesco, Marco Di
; …
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 336-360
Persistent link: https://www.econbiz.de/10012129157
Saved in:
18
Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
Krasin, Vladislav Y.
;
Smirnov, Ivan
;
Melʹnikov, …
- In:
Annals of finance
14
(
2018
)
2
,
pp. 195-209
Persistent link: https://www.econbiz.de/10011945591
Saved in:
19
A Tractable Model for Indices Approximating the Growth Optimal Portfolio
Baldeaux, Jan
;
Ignatieva, Katja
;
Platen, Eckhard
-
Finance Discipline Group, Business School
-
2012
time dependent
constant
elasticity
of
variance
(TCEV) model. The TCEV model has high tractability for a range of derivative …
Persistent link: https://www.econbiz.de/10010617687
Saved in:
20
On the multiplicity of option prices under CEV with positive elasticity of variance
Veestraeten, Dirk
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011928028
Saved in:
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