EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Research Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Constant Elasticity of Variance model"
Narrow search

Narrow search

Year of publication
Subject
All
Constant elasticity of variance model 7 Option pricing theory 7 Optionspreistheorie 7 Portfolio selection 6 Portfolio-Management 6 Stochastic process 6 Stochastischer Prozess 6 constant elasticity of variance model 4 Analysis of variance 3 Derivat 3 Derivative 3 Option pricing 3 Varianzanalyse 3 Backward stochastic Riccati equation 2 Constant Elasticity of Variance Model 2 Efficient frontier 2 Hedging 2 Legendre transform 2 Mean-variance portfolio selection 2 Noncentral Chi-square distribution 2 Risikoprämie 2 Risk premium 2 Theorie 2 Theory 2 derivative hedging 2 diffusion coefficient function 2 growth optimal portfolio 2 kernel estimation 2 7901 05-05-14; 7835/0206 1 Analysis 1 Black-Scholes equation 1 CAPM 1 Comparison theorem 1 Constant Elasticity of Variance model 1 Country risk 1 Credit default swap 1 Credit derivative 1 Credit risk 1 Elasticity 1 Elastizität 1
more ... less ...
Online availability
All
Undetermined 9 Free 1
Type of publication
All
Article 13 Book / Working Paper 1
Type of publication (narrower categories)
All
Article in journal 9 Aufsatz in Zeitschrift 9 Aufsatz im Buch 1 Book section 1
Language
All
English 10 Undetermined 4
Author
All
Baldeaux, Jan 2 Platen, Eckhard 2 Rong, Ximin 2 Zhao, Hui 2 Diop, Sidy 1 Francesco, Marco Di 1 Gao, Bo 1 Hsu, Y. L. 1 Hsu, Y.L. 1 Hsu, Yi-Hwa 1 Ignatieva, Ekaterina 1 Ignatieva, Katja 1 Jung, Eun Ju 1 Kim, Jai Heui 1 Krasin, Vladislav Y. 1 Lee, C.F. 1 Lee, Cheng F. 1 Lin, T. L. 1 Lin, T.I. 1 Lo, C. F. 1 Lu, Richard 1 Ma, Weiqin 1 Marchi, Gian Luca De 1 Melʹnikov, Aleksandr V. 1 Pascucci, Andrea 1 Shen, Yang 1 Siu, Tak Kuen 1 Smirnov, Ivan 1 Tsumurai, Shota 1 Vásquez, Óscar C. 1 Zhang, Xin 1 Zheng, X. F. 1
more ... less ...
Institution
All
Finance Discipline Group, Business School 1
Published in...
All
Operations research letters 2 Annals of finance 1 Applied mathematical finance 1 Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 4 1 IMA journal of management mathematics 1 Insurance: Mathematics and Economics 1 International Journal of Business and Economics 1 International journal of financial engineering 1 Journal of mathematical finance 1 Mathematics and Computers in Simulation (MATCOM) 1 Modern economy 1 Research Paper Series / Finance Discipline Group, Business School 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1
more ... less ...
Source
All
ECONIS (ZBW) 10 RePEc 4
Showing 1 - 10 of 14
Cover Image
Constant elasticity of variance option pricing model : integration and detailed derivation
Hsu, Y. L.; Lin, T. L.; Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015050148
Saved in:
Cover Image
Malliavin differentiability of CEV-type Heston model
Tsumurai, Shota - In: Journal of mathematical finance 10 (2020) 1, pp. 173-199
Persistent link: https://www.econbiz.de/10012545592
Saved in:
Cover Image
A simple closed-form approximation for constant elasticity of variance spread options
Lo, C. F.; Zheng, X. F. - In: International journal of financial engineering 7 (2020) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10012603776
Saved in:
Cover Image
Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
Krasin, Vladislav Y.; Smirnov, Ivan; Melʹnikov, … - In: Annals of finance 14 (2018) 2, pp. 195-209
Persistent link: https://www.econbiz.de/10011945591
Saved in:
Cover Image
Sovereign CDS calibration under a hybrid sovereign risk model
Diop, Sidy; Pascucci, Andrea; Francesco, Marco Di; … - In: Applied mathematical finance 25 (2018) 3/4, pp. 336-360
Persistent link: https://www.econbiz.de/10012129157
Saved in:
Cover Image
A Tractable Model for Indices Approximating the Growth Optimal Portfolio
Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard - Finance Discipline Group, Business School - 2012
The growth optimal portfolio (GOP) plays an important role in finance, where it serves as the numeraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance...
Persistent link: https://www.econbiz.de/10010617687
Saved in:
Cover Image
On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
Zhao, Hui; Rong, Ximin - In: IMA journal of management mathematics 28 (2017) 2, pp. 299-320
Persistent link: https://www.econbiz.de/10011723286
Saved in:
Cover Image
A tractable model for indices approximating the growth optimal portfolio
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10010347344
Saved in:
Cover Image
On the complexity of the single machine scheduling problem minimizing total weighted delay penalty
Vásquez, Óscar C. - In: Operations research letters 42 (2014) 5, pp. 343-347
Persistent link: https://www.econbiz.de/10010404393
Saved in:
Cover Image
Mean-variance portfolio selection under a constant elasticity of variance model
Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
Saved in:
  • 1
  • 2
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...