Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
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DOI: 10.1007/s10436-017-0309-9
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More about this item
Keywords
Stochastic differential equations; Comparison theorem; Option pricing; Constant elasticity of variance model;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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