Search Results - subject:"constant elasticity of variance"

Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model

Zheng, Xiaoxiao; Zhou, Jieming; Sun, Zhongyang - In: Insurance / Mathematics & economics 67 (2016), pp. 77-87

Persistent link: https://www.econbiz.de/10011457158

Measuring the volatility of wheat futures prices on the LIFFE

Dawson, Philip J. - In: Journal of agricultural economics 66 (2015) 1, pp. 20-35

Persistent link: https://www.econbiz.de/10011299657

Psychological barriers and option pricing

Jang, Bong-Gyu; Kim, Changki; Kim, Kyeong Tae; Lee, Seungkyu - In: The journal of futures markets 35 (2015) 1, pp. 52-74

Persistent link: https://www.econbiz.de/10011346173

Credit spreads and state-dependent volatility : theory and empirical evidence

Perrakis, Stylianos; Zhong, Rui - In: Journal of banking & finance 55 (2015), pp. 215-231

Persistent link: https://www.econbiz.de/10011379076

Real World Pricing for a Modified Constant Elasticity of Variance Model

Miller, Shane M; Platen, Eckhard - Finance Discipline Group, Business School - 2008

This paper considers a modified constant elasticity of variance (MCEV) model. This model uses the familiar constant … elasticity of variance form for the volatility of the growth optimal portfolio (GOP) in a continuous market. It leads to a GOP … Constant Elasticity of Variance Model Shane M. Miller 1 and Eckhard Platen 2 November 14, 2008 Abstract This paper considers a …

Persistent link: https://www.econbiz.de/10005041728

A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion

Kim, Jeong-Hoon; Park, Sang-Hyeon - In: Statistics & Probability Letters 94 (2014) C, pp. 39-47

In this paper, we consider a path-dependent option in finance under the constant elasticity of variance diffusion. We …

Persistent link: https://www.econbiz.de/10010930586

A tractable model for indices approximating the growth optimal portfolio

Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10010347344

On the complexity of the single machine scheduling problem minimizing total weighted delay penalty

Vásquez, Óscar C. - In: Operations research letters 42 (2014) 5, pp. 343-347

Persistent link: https://www.econbiz.de/10010404393

Mean-variance portfolio selection under a constant elasticity of variance model

Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342

Persistent link: https://www.econbiz.de/10010404397

Empirical competitiveness of deterministic option pricing models : evidences from the recent waves of financial upheavals in India

Singh, Vipul Kumar; Pachori, Pushkar - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 129-156

Persistent link: https://www.econbiz.de/10010209487