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Invariant approach to optimal investment–consumption problem: the constant elasticity of variance (CEV) model

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
1976The valuation of options for alternative stochastic processes2,935 cited
1989Computing the Constant Elasticity of Variance Option Pricing Formula316 cited
2006The constant elasticity of variance (CEV) model and the Legendre transform–dual solution for annuity contracts127 cited
2015Time-consistent reinsurance–investment strategy for an insurer and a reinsurer with mean–variance criterion under the CEV model69 cited
2000CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS63 cited
2001Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach52 cited
2005A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model49 cited
2000New solutions to the bond-pricing equation via Lie's classical method48 cited
2004Fundamental Solutions for Zero-Coupon Bond Pricing Models40 cited
2010An extended CEV model and the Legendre transform–dual–asymptotic solutions for annuity contracts37 cited
2013Optimal Investment and Consumption Decisions under the Constant Elasticity of Variance Model18 cited
2008Lie Theory: Applications to problems in Mathematical Finance and Economics

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2015On the constant elasticity of variance model for the utility maximization problem with multiple risky assets17 cited

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