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Pricing and Hedging Path-Dependent Options Under the CEV Process

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Cited by:

  1. Feng, Liming & Jiang, Pingping & Wang, Yongjin, 2020. "Constant elasticity of variance models with target zones," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  2. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2015. "Pricing and static hedging of American-style knock-in options on defaultable stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 343-360.
  3. Jilong Chen & Christian Ewald, 2017. "On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-32, March.
  4. 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.
  5. Dell'Era Mario, M.D., 2008. "Pricing of Double Barrier Options by Spectral Theory," MPRA Paper 17502, University Library of Munich, Germany.
  6. Keegan Mendonca & Vasileios E. Kontosakos & Athanasios A. Pantelous & Konstantin M. Zuev, 2018. "Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation," Papers 1803.03364, arXiv.org, revised Mar 2018.
  7. Lihua Zhang & Weiguo Zhang & Weijun Xu & Xiang Shi, 2014. "A Modified Least-Squares Simulation Approach to Value American Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 489-506, December.
  8. Zhang, Gongqiu & Li, Lingfei, 2023. "A general method for analysis and valuation of drawdown risk," Journal of Economic Dynamics and Control, Elsevier, vol. 152(C).
  9. Leunglung Chan & Eckhard Platen, 2015. "Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model," Research Paper Series 360, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2007, January-A.
  11. Deng Guohe & Xue Guangming, 2016. "Valuation of American Continuous-Installment Options Under the Constant Elasticity of Variance Model," Journal of Systems Science and Information, De Gruyter, vol. 4(2), pages 149-168, April.
  12. Campi, L. & Polbennikov, S.Y. & Sbuelz, A., 2005. "Assessing Credit with Equity : A CEV Model with Jump to Default," Other publications TiSEM 21b78fcf-8401-4e4d-8224-7, Tilburg University, School of Economics and Management.
  13. Axel A. Araneda & Marcelo J. Villena, 2018. "Computing the CEV option pricing formula using the semiclassical approximation of path integral," Papers 1803.10376, arXiv.org.
  14. Jia‐Hau Guo & Lung‐Fu Chang, 2020. "Repeated Richardson extrapolation and static hedging of barrier options under the CEV model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 974-988, June.
  15. Wen Su, 2021. "Default Distances Based on the CEV-KMV Model," Papers 2107.10226, arXiv.org, revised May 2022.
  16. Wang, Hengxu & O’Hara, John G. & Constantinou, Nick, 2015. "A path-independent approach to integrated variance under the CEV model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 109(C), pages 130-152.
  17. Zhang, Li-Hua & Zhang, Wei-Guo & Xu, Wei-Jun & Xiao, Wei-Lin, 2012. "The double exponential jump diffusion model for pricing European options under fuzzy environments," Economic Modelling, Elsevier, vol. 29(3), pages 780-786.
  18. Roman N. Makarov, 2016. "Modeling liquidation risk with occupation times," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-11, December.
  19. Zhang, Xiang & Li, Lingfei & Zhang, Gongqiu, 2021. "Pricing American drawdown options under Markov models," European Journal of Operational Research, Elsevier, vol. 293(3), pages 1188-1205.
  20. Massimo Costabile & Arturo Leccadito & Ivar Massabó, 2009. "Computationally simple lattice methods for option and bond pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(2), pages 161-181, November.
  21. Lo, C.F. & Hui, C.H. & Fong, T. & Chu, S.W., 2015. "A quasi-bounded target zone model — Theory and application to Hong Kong dollar," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 1-17.
  22. Zhang, Miao & Chen, Ping, 2016. "Mean–variance asset–liability management under constant elasticity of variance process," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 11-18.
  23. Silas A. Ihedioha & Ben I. Oruh & Bright O. Osu, 2017. "Effect of Correlation of Brownian Motions on an Investor,s Optimal Investment and Consumption Decision under Ornstein-Uhlenbeck Model," Academic Journal of Applied Mathematical Sciences, Academic Research Publishing Group, vol. 3(6), pages 52-61, 06-2017.
  24. Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & José Carlos Dias, 2019. "Pricing Double Barrier Options On Homogeneous Diffusions: A Neumann Series Of Bessel Functions Representation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-24, September.
  25. Ulm, Eric R., 2014. "Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 14-23.
  26. Cheng Few Lee & Yibing Chen & John Lee, 2020. "Alternative Methods to Derive Option Pricing Models: Review and Comparison," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 102, pages 3573-3617, World Scientific Publishing Co. Pte. Ltd..
  27. Wang, Xingchun, 2021. "Pricing volatility-equity options under the modified constant elasticity of variance model," Finance Research Letters, Elsevier, vol. 38(C).
  28. Yang, Nian & Chen, Nan & Liu, Yanchu & Wan, Xiangwei, 2017. "Approximate arbitrage-free option pricing under the SABR model," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 198-214.
  29. Tsai, Wei-Che, 2014. "Improved method for static replication under the CEV model," Finance Research Letters, Elsevier, vol. 11(3), pages 194-202.
  30. Richard Jordan & Charles Tier, 2016. "Asymptotic Approximations For Pricing Derivatives Under Mean-Reverting Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-31, August.
  31. Vygintas Gontis & Aleksejus Kononovicius & Stefan Reimann, 2012. "The class of nonlinear stochastic models as a background for the bursty behavior in financial markets," Papers 1201.3083, arXiv.org, revised May 2012.
  32. Ning Cai & Chenxu Li & Chao Shi, 2014. "Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models," Mathematics of Operations Research, INFORMS, vol. 39(3), pages 789-822, August.
  33. Angelos Dassios & Jayalaxshmi Nagaradjasarma, 2006. "The square-root process and Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 337-347.
  34. Ning Cai & Yingda Song & Steven Kou, 2015. "A General Framework for Pricing Asian Options Under Markov Processes," Operations Research, INFORMS, vol. 63(3), pages 540-554, June.
  35. Gongqiu Zhang & Lingfei Li, 2021. "A General Approach for Lookback Option Pricing under Markov Models," Papers 2112.00439, arXiv.org.
  36. Maria Elvira Mancino & Simona Sanfelici, 2020. "Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks," Risks, MDPI, vol. 8(4), pages 1-17, November.
  37. Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & Jos'e Carlos Dias, 2017. "Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation," Papers 1712.08247, arXiv.org.
  38. Aricson Cruz & José Carlos Dias, 2020. "Valuing American-style options under the CEV model: an integral representation based method," Review of Derivatives Research, Springer, vol. 23(1), pages 63-83, April.
  39. Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.
  40. Pagliarani, Stefano & Pascucci, Andrea, 2011. "Analytical approximation of the transition density in a local volatility model," MPRA Paper 31107, University Library of Munich, Germany.
  41. Dell'Era Mario, M.D., 2008. "Pricing of the European Options by Spectral Theory," MPRA Paper 17429, University Library of Munich, Germany.
  42. Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 25, July-Dece.
  43. Detemple, Jerome & Rindisbacher, Marcel, 2007. "Monte Carlo methods for derivatives of options with discontinuous payoffs," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3393-3417, April.
  44. Rafael Mendoza-Arriaga & Vadim Linetsky, 2011. "Pricing equity default swaps under the jump-to-default extended CEV model," Finance and Stochastics, Springer, vol. 15(3), pages 513-540, September.
  45. Dias, José Carlos & Nunes, João Pedro Vidal & da Silva, Fernando Correia, 2024. "Finite maturity caps and floors on continuous flows under the constant elasticity of variance process," European Journal of Operational Research, Elsevier, vol. 316(1), pages 361-385.
  46. Li, Xin & Liu, Haibo & Tang, Qihe & Zhu, Jinxia, 2020. "Liquidation risk in insurance under contemporary regulatory frameworks," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 36-49.
  47. Jos� Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas, 2015. "Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 1995-2010, December.
  48. Seo, Jun-Ho & Kim, Jeong-Hoon, 2022. "Multiscale stochastic elasticity of variance for options and equity linked annuity; A Mellin transform approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 192(C), pages 303-320.
  49. Mouna Ben Derouich & Ahmed Kebaier, 2022. "Interpolated Drift Implicit Euler MLMC Method for Barrier Option Pricing and application to CIR and CEV Models," Papers 2210.00779, arXiv.org, revised Sep 2024.
  50. Campi, L. & Polbennikov, S.Y. & Sbuelz, A., 2005. "Assessing Credit with Equity : A CEV Model with Jump to Default," Discussion Paper 2005-27, Tilburg University, Center for Economic Research.
  51. Campi, L. & Sbuelz, A., 2005. "Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption," Discussion Paper 2005-28, Tilburg University, Center for Economic Research.
  52. Soeren Asmussen & Dilip Madan & Martijn Pistorius, 2007. "Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model," Papers 0711.2807, arXiv.org.
  53. S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
  54. Kwai Sun Leung & Yue Kuen Kwok, 2007. "Distribution of occupation times for constant elasticity of variance diffusion and the pricing of α-quantile options," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 87-94.
  55. Sesana, Debora & Marazzina, Daniele & Fusai, Gianluca, 2014. "Pricing exotic derivatives exploiting structure," European Journal of Operational Research, Elsevier, vol. 236(1), pages 369-381.
  56. Josa-Fombellida, Ricardo & López-Casado, Paula & Rincón-Zapatero, Juan Pablo, 2018. "Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 73-86.
  57. Dassios, Angelos & Nagaradjasarma, Jayalaxshmi, 2006. "The square-root process and Asian options," LSE Research Online Documents on Economics 2851, London School of Economics and Political Science, LSE Library.
  58. Carl Remlinger & Joseph Mikael & Romuald Elie, 2022. "Robust Operator Learning to Solve PDE," Working Papers hal-03599726, HAL.
  59. Anna Battauz & Marzia Donno & Alessandro Sbuelz, 2017. "Reaching nirvana with a defaultable asset?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 31-52, November.
  60. Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney.
  61. Detemple, Jérôme & Laminou Abdou, Souleymane & Moraux, Franck, 2020. "American step options," European Journal of Operational Research, Elsevier, vol. 282(1), pages 363-385.
  62. Jang Hanbyeol & Wang Jian & Kim Junseok, 2019. "Equity-linked security pricing and Greeks at arbitrary intermediate times using Brownian bridge," Monte Carlo Methods and Applications, De Gruyter, vol. 25(4), pages 291-305, December.
  63. Weston Barger & Matthew Lorig, 2016. "Approximate pricing of European and Barrier claims in a local-stochastic volatility setting," Papers 1610.05728, arXiv.org, revised Apr 2017.
  64. Ning Cai & Yingda Song & Nan Chen, 2017. "Exact Simulation of the SABR Model," Operations Research, INFORMS, vol. 65(4), pages 931-951, August.
  65. Xia, Kun & Yang, Xuewei & Zhu, Peng, 2023. "Delta hedging and volatility-price elasticity: A two-step approach," Journal of Banking & Finance, Elsevier, vol. 153(C).
  66. Shane Miller & Eckhard Platen, 2010. "Real-World Pricing for a Modified Constant Elasticity of Variance Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(2), pages 147-175.
  67. Gao, Jianwei, 2010. "An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 511-530, June.
  68. Yeda Cui & Lingfei Li & Gongqiu Zhang, 2024. "Pricing and hedging autocallable products by Markov chain approximation," Review of Derivatives Research, Springer, vol. 27(3), pages 259-303, October.
  69. Ballestra, Luca Vincenzo & Cecere, Liliana, 2015. "Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley," Finance Research Letters, Elsevier, vol. 14(C), pages 45-55.
  70. Lingfei Li & Vadim Linetsky, 2015. "Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach," Finance and Stochastics, Springer, vol. 19(4), pages 941-977, October.
  71. Forde, Martin, 2011. "A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time," Stochastic Processes and their Applications, Elsevier, vol. 121(12), pages 2802-2817.
  72. Roger Lee & Dan Wang, 2012. "Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations," Annals of Finance, Springer, vol. 8(2), pages 159-181, May.
  73. Hui, Cho-Hoi & Lo, Chi-Fai & Liu, Chi-Hei, 2022. "Exchange rate dynamics with crash risk and interventions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 18-37.
  74. Sbuelz, Alessandro & Caliari, Marco, 2012. "Revisiting corporate growth options in the presence of state-dependent cashflow risk," European Journal of Operational Research, Elsevier, vol. 220(1), pages 286-294.
  75. Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021. "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, vol. 290(1), pages 313-330.
  76. Kiseop Lee & Seongje Lim & Hyungbin Park, 2022. "Option pricing under path-dependent stock models," Papers 2211.10953, arXiv.org, revised Aug 2023.
  77. Hoi Ying Wong & Chun Man Chan, 2008. "Turbo warrants under stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 739-751.
  78. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
  79. Luciano Campi & Simon Polbennikov & Sbuelz, 2005. "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers 24/2005, University of Verona, Department of Economics.
  80. Weston Barger & Matthew Lorig, 2017. "Approximate pricing of European and Barrier claims in a local-stochastic volatility setting," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-31, June.
  81. Andrey Itkin, 2013. "New solvable stochastic volatility models for pricing volatility derivatives," Review of Derivatives Research, Springer, vol. 16(2), pages 111-134, July.
  82. Fusai, Gianluca & Recchioni, Maria Cristina, 2007. "Analysis of quadrature methods for pricing discrete barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 826-860, March.
  83. Xiaobai Zhu & Kenneth Q. Zhou & Zijia Wang, 2024. "A new paradigm of mortality modeling via individual vitality dynamics," Papers 2407.15388, arXiv.org, revised Oct 2024.
  84. Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon & Wong, Andrew, 2020. "Does Bitcoin behave as a currency?: A standard monetary model approach," International Review of Financial Analysis, Elsevier, vol. 70(C).
  85. Zhiqiang Zhou & Hongying Wu, 2018. "Laplace Transform Method for Pricing American CEV Strangles Option with Two Free Boundaries," Discrete Dynamics in Nature and Society, Hindawi, vol. 2018, pages 1-12, September.
  86. Hideharu Funahashi & Masaaki Kijima, 2016. "Analytical pricing of single barrier options under local volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 867-886, June.
  87. Wong, Hoi Ying & Lo, Yu Wai, 2009. "Option pricing with mean reversion and stochastic volatility," European Journal of Operational Research, Elsevier, vol. 197(1), pages 179-187, August.
  88. Jiling Cao & Jeong-Hoon Kim & Xi Li & Wenjun Zhang, 2022. "Pricing Path-dependent Options under Stochastic Volatility via Mellin Transform," Papers 2205.00573, arXiv.org.
  89. Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2009. "Systematic equity-based credit risk: A CEV model with jump to default," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 93-108, January.
  90. Andrey Itkin & Dmitry Muravey, 2023. "American options in time-dependent one-factor models: Semi-analytic pricing, numerical methods and ML support," Papers 2307.13870, arXiv.org.
  91. Ning Cai & S. G. Kou, 2011. "Option Pricing Under a Mixed-Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 57(11), pages 2067-2081, November.
  92. Massimo Costabile, 2006. "On pricing lookback options under the CEV process," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 29(2), pages 139-153, November.
  93. José Carlos Dias & João Pedro Vidal Nunes & Aricson Cruz, 2020. "A note on options and bubbles under the CEV model: implications for pricing and hedging," Review of Derivatives Research, Springer, vol. 23(3), pages 249-272, October.
  94. Dias, José Carlos & Vidal Nunes, João Pedro, 2018. "Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ2 random variable," European Journal of Operational Research, Elsevier, vol. 265(2), pages 559-570.
  95. Kevin Z. Tong & Allen Liu, 2019. "Option pricing in a subdiffusive constant elasticity of variance (CEV) model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-21, June.
  96. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.
  97. Fannu Hu & Charles Knessl, 2010. "Asymptotics of Barrier Option Pricing Under the CEV Process," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(3), pages 261-300.
  98. Aleksandar Mijatovic & Mikhail Urusov, 2009. "On the Martingale Property of Certain Local Martingales," Papers 0905.3701, arXiv.org, revised Oct 2010.
  99. Campi, L. & Sbuelz, A., 2005. "Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption," Other publications TiSEM f10edfa3-d4c3-489b-bffe-4, Tilburg University, School of Economics and Management.
  100. Lee, Min-Ku, 2016. "Asymptotic approach to the pricing of geometric asian options under the CEV model," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 544-548.
  101. Carlos Miguel Glória & José Carlos Dias & Aricson Cruz, 2024. "Pricing levered warrants under the CEV diffusion model," Review of Derivatives Research, Springer, vol. 27(1), pages 55-84, April.
  102. Cao, Jiling & Kim, Jeong-Hoon & Li, Xi & Zhang, Wenjun, 2023. "Valuation of barrier and lookback options under hybrid CEV and stochastic volatility," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 208(C), pages 660-676.
  103. Sanjiv R. Das & Rangarajan K. Sundaram, 2007. "An Integrated Model for Hybrid Securities," Management Science, INFORMS, vol. 53(9), pages 1439-1451, September.
  104. Dirk Veestraeten, 2017. "On the multiplicity of option prices under CEV with positive elasticity of variance," Review of Derivatives Research, Springer, vol. 20(1), pages 1-13, April.
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