Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
Year of publication: |
May 2018
|
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Authors: | Krasin, Vladislav Y. ; Smirnov, Ivan ; Melʹnikov, Aleksandr V. |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 14.2018, 2, p. 195-209
|
Subject: | Stochastic differential equations | Comparison theorem | Option pricing | Constant elasticity of variance model | Optionspreistheorie | Option pricing theory | Hedging | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Derivat | Derivative |
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