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A Note on Option Pricing for the Constant Elasticity of Variance Model · Study

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ArticleA Note on Option Pricing for the Constant Elasticity of Variance Model

Freddy Delbaen2002

Article2002

A Note on Option Pricing for the Constant Elasticity of Variance Model

Freddy Delbaen · Hiroshi Shirakawa

123 citations·0/0 files stored·Asia-Pacific Financial Markets

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1979Martingales and arbitrage in multiperiod securities markets 1976The valuation of options for alternative stochastic processes 1981Martingales and stochastic integrals in the theory of continuous trading 1991Continuous Martingales and Brownian Motion 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1988Brownian Motion and Stochastic Calculus

Cited by

2010TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING 2005Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes 2005Equivalent and absolutely continuous measure changes for jump-diffusion processes 2011Analytical Approximation of the Transition Density in a Local Volatility Model 2013Option pricing under hybrid stochastic and local volatility 2007Chapter 6 Spectral Methods in Derivatives Pricing

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Year2002

Typearticle

Published2002-06-01

VenueAsia-Pacific Financial Markets

ISSN-L1380-2011

Languageen

Citations123

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1022269617674

openalex_workW56513751

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2009Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy

2008Systematic equity-based credit risk: A CEV model with jump to default