European Option Pricing Under Fuzzy CEV Model
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DOI: 10.1007/s10957-022-02108-w
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- Lee, Jung-Kyung, 2020. "A simple numerical method for pricing American power put options," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
- Gu, Ailing & Guo, Xianping & Li, Zhongfei & Zeng, Yan, 2012. "Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 674-684.
- Jingtang Ma & Zhengyang Lu & Wenyuan Li & Jie Xing, 2020. "Least-squares Monte-Carlo methods for optimal stopping investment under CEV models," Quantitative Finance, Taylor & Francis Journals, vol. 20(7), pages 1199-1211, July.
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- Chinonso Nwankwo & Weizhong Dai & Tony Ware, 2023. "Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping," Papers 2309.03984, arXiv.org, revised Sep 2023.
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Keywords
Credibility measure; Fuzzy differential equation; Liu process; Option pricing; Constant elasticity of variance;All these keywords.
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