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Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation

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References

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1985Stock Returns and the Term Structure2,260 cited
1976The Dividend Puzzle1,235 cited
2003On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach468 cited
1996The Constant Elasticity of Variance Option Pricing Model376 cited
1989Computing the Constant Elasticity of Variance Option Pricing Formula316 cited
1982Further Results on the Constant Elasticity of Variance Call Option Pricing Model308 cited
2010Handbook of Quantitative Finance and Risk Management182 cited

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2011Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model59 cited
2010Parametrix Approximation of Diffusion Transition Densities48 cited
2011Portfolio selection problem with multiple risky assets under the constant elasticity of variance model39 cited
2012Simulation of the CEV process and the local martingale property33 cited
2019Family optimal investment strategy for a random household expenditure under the CEV model31 cited

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