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  • Search: subject:"Constant Elasticity of Variance model"
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Year of publication
Subject
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Option pricing theory 9 Optionspreistheorie 9 Constant elasticity of variance model 7 Stochastic process 7 Stochastischer Prozess 7 Portfolio selection 5 Portfolio-Management 5 Analysis of variance 4 Elasticity 4 Elastizität 4 Hedging 4 Varianzanalyse 4 constant elasticity of variance model 4 CAPM 3 Derivat 3 Derivative 3 Option pricing 3 Volatility 3 Volatilität 3 Backward stochastic Riccati equation 2 Black-Scholes model 2 Black-Scholes-Modell 2 Constant Elasticity of Variance Model 2 Efficient frontier 2 Legendre transform 2 Mathematical programming 2 Mathematische Optimierung 2 Mean-variance portfolio selection 2 Noncentral Chi-square distribution 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 Comparison theorem 1 Constant Elasticity of Variance model 1 Country risk 1 Credit default swap 1
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Online availability
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Undetermined 9 Free 1
Type of publication
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Article 13 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 Aufsatz im Buch 1 Book section 1
Language
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English 10 Undetermined 4
Author
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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
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Institution
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Finance Discipline Group, Business School 1
Published in...
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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
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Source
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ECONIS (ZBW) 10 RePEc 4
Showing 1 - 10 of 14
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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