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A Note on Option Pricing for the Constant Elasticity of Variance Model
14 references·14 citing·28 second hop
A Note on Option Pricing for the Constant Elasticity of Variance Model (2002)A Note on Option Pricing for the Constant…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…The Constant Elasticity of Variance Option Pricing Model (1996)The Constant Elasticity of Va…Arbitrage possibilities in Bessel processes and their relations to local martingales (1995)Arbitrage possibilities in Be…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…On some exponential functionals of Brownian motion (1992)On some exponential functiona…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …The valuation of options for alternative stochastic processes (1976)The valuation of options for …A multiscale correction to the Black–Scholes formula (2014)A multiscale correction to th…Option pricing under hybrid stochastic and local volatility (2013)Option pricing under hybrid s…Analytical Approximation of the Transition Density in a Local Volatility Model (2011)Analytical Approximation of t…TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (2010)TIME-CHANGED MARKOV PROCESSES…Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy (2009)Pricing American Options unde…No Arbitrage without Semimartingales (2009)No Arbitrage without Semimart…No arbitrage without semimartingales (2009)No arbitrage without semimart…Empirical Performance of the Constant Elasticity Variance Option Pricing Model (2009)Empirical Performance of the …Systematic equity-based credit risk: A CEV model with jump to default (2008)Systematic equity-based credi…Local time and the pricing of time-dependent barrier options (2008)Local time and the pricing of…Chapter 6 Spectral Methods in Derivatives Pricing (2007)Chapter 6 Spectral Methods in…Local volatility function models under a benchmark approach (2006)Local volatility function mod…Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes (2005)Equivalent and Absolutely Con…Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005)Equivalent and absolutely con…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Option pricing and Esscher transform under regime switching (2005)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Tails, Fears, and Risk Premia (2011)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 1996The Constant Elasticity of Variance Option Pricing Model376 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited
  • 1992On some exponential functionals of Brownian motion259 cited
  • 1995Arbitrage possibilities in Bessel processes and their relations to local martingales132 cited

Cited by

  • 2010TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING98 cited

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  • 2005Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes97 cited
  • 2005Equivalent and absolutely continuous measure changes for jump-diffusion processes95 cited
  • 2011Analytical Approximation of the Transition Density in a Local Volatility Model61 cited
  • 2013Option pricing under hybrid stochastic and local volatility50 cited
  • 2007Chapter 6 Spectral Methods in Derivatives Pricing46 cited
  • 2009Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy45 cited
  • 2008Systematic equity-based credit risk: A CEV model with jump to default42 cited
  • 2009No arbitrage without semimartingales36 cited
  • 2006Local volatility function models under a benchmark approach35 cited
  • 2008Local time and the pricing of time-dependent barrier options32 cited
  • 2009No Arbitrage without Semimartingales31 cited
  • 2009Empirical Performance of the Constant Elasticity Variance Option Pricing Model26 cited
  • 2014A multiscale correction to the Black–Scholes formula26 cited