Ballestra, Luca Vincenzo Fast and accurate calculation of American option prices. (English) Zbl 1419.91644 Decis. Econ. Finance 41, No. 2, 399-426 (2018). MSC: 91G60 65M06 91G20 60G40 PDF BibTeX XML Cite \textit{L. V. Ballestra}, Decis. Econ. Finance 41, No. 2, 399--426 (2018; Zbl 1419.91644) Full Text: DOI
Han, Xingyu Pricing and hedging vulnerable option with funding costs and collateral. (English) Zbl 1395.91446 Chaos Solitons Fractals 112, 103-115 (2018). MSC: 91G20 91G40 91G60 PDF BibTeX XML Cite \textit{X. Han}, Chaos Solitons Fractals 112, 103--115 (2018; Zbl 1395.91446) Full Text: DOI
Zhao, Hui; Weng, ChengGuo; Shen, Yang; Zeng, Yan Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models. (English) Zbl 1367.60088 Sci. China, Math. 60, No. 2, 317-344 (2017). MSC: 60H30 60H10 91B30 91G80 90C39 PDF BibTeX XML Cite \textit{H. Zhao} et al., Sci. China, Math. 60, No. 2, 317--344 (2017; Zbl 1367.60088) Full Text: DOI
Bakkaloglu, Ahmet; Aziz, Taha; Fatima, Aeeman; Mahomed, F. M.; Khalique, Chaudry Masood Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model. (English) Zbl 1372.35121 Math. Methods Appl. Sci. 40, No. 5, 1382-1395 (2017). MSC: 35K05 35C05 35B06 PDF BibTeX XML Cite \textit{A. Bakkaloglu} et al., Math. Methods Appl. Sci. 40, No. 5, 1382--1395 (2017; Zbl 1372.35121) Full Text: DOI
Chan, Leunglung; Platen, Eckhard Pricing volatility derivatives under the modified constant elasticity of variance model. (English) Zbl 1408.91208 Oper. Res. Lett. 43, No. 4, 419-422 (2015). MSC: 91G20 PDF BibTeX XML Cite \textit{L. Chan} and \textit{E. Platen}, Oper. Res. Lett. 43, No. 4, 419--422 (2015; Zbl 1408.91208) Full Text: DOI
Wang, Aiyin; Yong, Ls; Wang, Yang; Luo, Xuanjun The CEV model and its application in a study of optimal investment strategy. (English) Zbl 1407.91239 Math. Probl. Eng. 2014, Article ID 317071, 7 p. (2014). MSC: 91G10 91G80 35Q91 93E20 PDF BibTeX XML Cite \textit{A. Wang} et al., Math. Probl. Eng. 2014, Article ID 317071, 7 p. (2014; Zbl 1407.91239) Full Text: DOI
Thakoor, Nawdha; Tangman, Désiré Yannick; Bhuruth, Muddun Efficient and high accuracy pricing of barrier options under the CEV diffusion. (English) Zbl 1291.91238 J. Comput. Appl. Math. 259, Part A, 182-193 (2014). MSC: 91G60 91G20 65M06 62P05 PDF BibTeX XML Cite \textit{N. Thakoor} et al., J. Comput. Appl. Math. 259, Part A, 182--193 (2014; Zbl 1291.91238) Full Text: DOI
Zhao, Hui; Rong, Ximin Portfolio selection problem with multiple risky assets under the constant elasticity of variance model. (English) Zbl 1235.91159 Insur. Math. Econ. 50, No. 1, 179-190 (2012). MSC: 91G10 93E20 49L20 91B16 PDF BibTeX XML Cite \textit{H. Zhao} and \textit{X. Rong}, Insur. Math. Econ. 50, No. 1, 179--190 (2012; Zbl 1235.91159) Full Text: DOI
Gu, Mengdi; Yang, Yipeng; Li, Shoude; Zhang, Jingyi Constant elasticity of variance model for proportional reinsurance and investment strategies. (English) Zbl 1231.91193 Insur. Math. Econ. 46, No. 3, 580-587 (2010). MSC: 91B30 49L20 PDF BibTeX XML Cite \textit{M. Gu} et al., Insur. Math. Econ. 46, No. 3, 580--587 (2010; Zbl 1231.91193) Full Text: DOI
Gao, Jianwei An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts. (English) Zbl 1231.91432 Insur. Math. Econ. 46, No. 3, 511-530 (2010). MSC: 91G20 91G70 60H30 93E20 PDF BibTeX XML Cite \textit{J. Gao}, Insur. Math. Econ. 46, No. 3, 511--530 (2010; Zbl 1231.91432) Full Text: DOI
Miller, Shane M.; Platen, Eckhard Real-world pricing for a modified constant elasticity of variance model. (English) Zbl 1229.91293 Appl. Math. Finance 17, No. 1-2, 147-175 (2010). MSC: 91G10 91G20 PDF BibTeX XML Cite \textit{S. M. Miller} and \textit{E. Platen}, Appl. Math. Finance 17, No. 1--2, 147--175 (2010; Zbl 1229.91293) Full Text: DOI
Lo, C. F.; Tang, H. M.; Ku, K. C.; Hui, C. H. Valuing time-dependent CEV barrier options. (English) Zbl 1175.91075 J. Appl. Math. Decis. Sci. 2009, Article ID 359623, 17 p. (2009). MSC: 91B25 91G20 PDF BibTeX XML Cite \textit{C. F. Lo} et al., J. Appl. Math. Decis. Sci. 2009, Article ID 359623, 17 p. (2009; Zbl 1175.91075) Full Text: DOI EuDML
Campi, Luciano; Polbennikov, Simon; Sbuelz, Alessandro Systematic equity-based credit risk: A CEV model with jump to default. (English) Zbl 1170.91408 J. Econ. Dyn. Control 33, No. 1, 93-108 (2009). MSC: 91B30 93E03 PDF BibTeX XML Cite \textit{L. Campi} et al., J. Econ. Dyn. Control 33, No. 1, 93--108 (2009; Zbl 1170.91408) Full Text: DOI
Gao, Jianwei Optimal portfolios for DC pension plans under a CEV model. (English) Zbl 1162.91411 Insur. Math. Econ. 44, No. 3, 479-490 (2009). MSC: 91B30 91B28 93E99 PDF BibTeX XML Cite \textit{J. Gao}, Insur. Math. Econ. 44, No. 3, 479--490 (2009; Zbl 1162.91411) Full Text: DOI
Hernández, Isabel; Mateos, Consuelo; Núñez, Juan; Tenorio, Ángel F. Lie theory: Applications to problems in mathematical finance and economics. (English) Zbl 1162.91013 Appl. Math. Comput. 208, No. 2, 446-452 (2009). Reviewer: Elisa Alòs (Barcelona) MSC: 91G80 35A30 35Q91 91B02 PDF BibTeX XML Cite \textit{I. Hernández} et al., Appl. Math. Comput. 208, No. 2, 446--452 (2009; Zbl 1162.91013) Full Text: DOI
Guo, Zhi Jun A note on the CIR process and the existence of equivalent martingale measures. (English) Zbl 1133.91501 Stat. Probab. Lett. 78, No. 5, 481-487 (2008). MSC: 91B70 91B28 PDF BibTeX XML Cite \textit{Z. J. Guo}, Stat. Probab. Lett. 78, No. 5, 481--487 (2008; Zbl 1133.91501) Full Text: DOI
Yam, Phillip S. C.; Yang, Hailiang On valuation of derivative securities: A Lie group analytical approach. (English) Zbl 1164.60359 Appl. Math., Praha 51, No. 1, 49-61 (2006). MSC: 60G40 49L25 91B24 PDF BibTeX XML Cite \textit{P. S. C. Yam} and \textit{H. Yang}, Appl. Math., Praha 51, No. 1, 49--61 (2006; Zbl 1164.60359) Full Text: DOI EuDML
Decamps, Marc; Goovaerts, Marc; Schoutens, Wim Self exciting threshold interest rates models. (English) Zbl 1140.91384 Int. J. Theor. Appl. Finance 9, No. 7, 1093-1122 (2006). MSC: 91B28 60H10 60H30 PDF BibTeX XML Cite \textit{M. Decamps} et al., Int. J. Theor. Appl. Finance 9, No. 7, 1093--1122 (2006; Zbl 1140.91384) Full Text: DOI
Lo, C. F.; Hui, C. H. Lie-algebraic approach for pricing moving barrier options with time-dependent parameters. (English) Zbl 1148.91020 J. Math. Anal. Appl. 323, No. 2, 1455-1464 (2006). Reviewer: C. L. Parihar (Indore) MSC: 91B28 PDF BibTeX XML Cite \textit{C. F. Lo} and \textit{C. H. Hui}, J. Math. Anal. Appl. 323, No. 2, 1455--1464 (2006; Zbl 1148.91020) Full Text: DOI