Lee, Jung-Kyung An efficient numerical method for pricing American put options under the CEV model. (English) Zbl 07309591 J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021). MSC: 91G60 65N06 91G20 60G40 PDF BibTeX XML Cite \textit{J.-K. Lee}, J. Comput. Appl. Math. 389, Article ID 113311, 16 p. (2021; Zbl 07309591) Full Text: DOI
Araneda, Axel A.; Villena, Marcelo J. Computing the CEV option pricing formula using the semiclassical approximation of path integral. (English) Zbl 07305202 J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021). MSC: 91G60 65R20 91G20 91G80 PDF BibTeX XML Cite \textit{A. A. Araneda} and \textit{M. J. Villena}, J. Comput. Appl. Math. 388, Article ID 113244, 21 p. (2021; Zbl 07305202) Full Text: DOI
Hsu, Y. L.; Lin, T. L.; Lee, Cheng Few Constant elasticity of variance option pricing model: integration and detailed derivation. (English) Zbl 07283321 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific (ISBN 978-981-12-0244-5/hbk; 978-981-12-0238-4/set; 978-981-12-0240-7/ebook). 3829-3847 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{Y. L. Hsu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3829--3847 (2021; Zbl 07283321) Full Text: DOI
Chen, Ren Raw; Lee, Cheng Few; Lee, Han-Hsing Empirical performance of the constant elasticity variance option pricing model. (English) Zbl 1452.91305 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903-1942 (2021). MSC: 91G20 60G40 91G60 91G40 PDF BibTeX XML Cite \textit{R. R. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1903--1942 (2021; Zbl 1452.91305) Full Text: DOI
Ma, Changfu; Xu, Wei Pricing volatility index option in constant elasticity of variance model. (Chinese. English summary) Zbl 1449.91156 J. Tongji Univ., Nat. Sci. 47, No. 11, 1664-1669 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{C. Ma} and \textit{W. Xu}, J. Tongji Univ., Nat. Sci. 47, No. 11, 1664--1669 (2019; Zbl 1449.91156) Full Text: DOI
Diop, Sidy; Pascucci, Andrea; Di Francesco, Marco; De Marchi, Gian Luca Sovereign CDS calibration under a hybrid sovereign risk model. (English) Zbl 1411.91595 Appl. Math. Finance 25, No. 4, 336-360 (2018). MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{S. Diop} et al., Appl. Math. Finance 25, No. 4, 336--360 (2018; Zbl 1411.91595) Full Text: DOI
Feldman, David; Xu, Xin Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles). (English) Zbl 1416.91346 Ann. Oper. Res. 262, No. 2, 493-518 (2018). MSC: 91G10 62M10 62P05 PDF BibTeX XML Cite \textit{D. Feldman} and \textit{X. Xu}, Ann. Oper. Res. 262, No. 2, 493--518 (2018; Zbl 1416.91346) Full Text: DOI
Thakoor, Nawdha; Tangman, Désiré Yannick; Bhuruth, Muddun RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility. (English) Zbl 1403.91353 Eng. Anal. Bound. Elem. 92, 207-217 (2018). MSC: 91G20 91G70 60H30 65M70 PDF BibTeX XML Cite \textit{N. Thakoor} et al., Eng. Anal. Bound. Elem. 92, 207--217 (2018; Zbl 1403.91353) Full Text: DOI
Pirjol, Dan; Zhu, Lingjiong Explosion in the quasi-Gaussian HJM model. (English) Zbl 1423.60123 Finance Stoch. 22, No. 3, 643-666 (2018). Reviewer: Pavel Gapeev (London) MSC: 60J60 60J70 91G30 93D30 PDF BibTeX XML Cite \textit{D. Pirjol} and \textit{L. Zhu}, Finance Stoch. 22, No. 3, 643--666 (2018; Zbl 1423.60123) Full Text: DOI arXiv
Krasin, Vladislav; Smirnov, Ivan; Melnikov, Alexander Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes. (English) Zbl 1397.91572 Ann. Finance 14, No. 2, 195-209 (2018). MSC: 91G20 60H10 PDF BibTeX XML Cite \textit{V. Krasin} et al., Ann. Finance 14, No. 2, 195--209 (2018; Zbl 1397.91572) Full Text: DOI
A, Chunxiang; Lai, Yongzeng; Shao, Yi Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model. (English) Zbl 1422.91320 J. Comput. Appl. Math. 342, 317-336 (2018). MSC: 91B30 93E20 60J75 60H10 PDF BibTeX XML Cite \textit{C. A} et al., J. Comput. Appl. Math. 342, 317--336 (2018; Zbl 1422.91320) Full Text: DOI
Wang, Yajie; Rong, Ximin; Zhao, Hui Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model. (English) Zbl 1372.91097 J. Comput. Appl. Math. 328, 414-431 (2018). MSC: 91G10 91B30 60J75 93E20 PDF BibTeX XML Cite \textit{Y. Wang} et al., J. Comput. Appl. Math. 328, 414--431 (2018; Zbl 1372.91097) Full Text: DOI
Zhao, Hui; Rong, Ximin On the constant elasticity of variance model for the utility maximization problem with multiple risky assets. (English) Zbl 07067547 IMA J. Manag. Math. 28, No. 2, 299-320 (2017). MSC: 90 91 PDF BibTeX XML Cite \textit{H. Zhao} and \textit{X. Rong}, IMA J. Manag. Math. 28, No. 2, 299--320 (2017; Zbl 07067547) Full Text: DOI
Veestraeten, Dirk On the multiplicity of option prices under CEV with positive elasticity of variance. (English) Zbl 1417.91515 Rev. Deriv. Res. 20, No. 1, 1-13 (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{D. Veestraeten}, Rev. Deriv. Res. 20, No. 1, 1--13 (2017; Zbl 1417.91515) Full Text: DOI
Xiao, Shuang; Li, Guo; Jia, Yunjing Estimating the constant elasticity of variance model with data-driven Markov chain Monte Carlo methods. (English) Zbl 1361.90035 Asia-Pac. J. Oper. Res. 34, No. 1, Article ID 1740009, 23 p. (2017). MSC: 90B50 65C05 60J20 91G60 PDF BibTeX XML Cite \textit{S. Xiao} et al., Asia-Pac. J. Oper. Res. 34, No. 1, Article ID 1740009, 23 p. (2017; Zbl 1361.90035) Full Text: DOI
Li, Danping; Rong, Ximin; Zhao, Hui; Yi, Bo Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. (English) Zbl 1394.91332 Insur. Math. Econ. 72, 6-20 (2017). MSC: 91G10 91B30 93E20 PDF BibTeX XML Cite \textit{D. Li} et al., Insur. Math. Econ. 72, 6--20 (2017; Zbl 1394.91332) Full Text: DOI
Li, Danping; Rong, Ximin; Zhao, Hui The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model. (English) Zbl 1433.91137 IMA J. Manag. Math. 27, No. 2, 255-280 (2016). MSC: 91G05 60H30 93E20 PDF BibTeX XML Cite \textit{D. Li} et al., IMA J. Manag. Math. 27, No. 2, 255--280 (2016; Zbl 1433.91137) Full Text: DOI
Choi, Sun-Yong; Kim, Jeong-Hoon Equity-linked annuities with multiscale hybrid stochastic and local volatility. (English) Zbl 1401.91115 Scand. Actuar. J. 2016, No. 5, 466-487 (2016). MSC: 91B30 91G20 60H30 PDF BibTeX XML Cite \textit{S.-Y. Choi} and \textit{J.-H. Kim}, Scand. Actuar. J. 2016, No. 5, 466--487 (2016; Zbl 1401.91115) Full Text: DOI
Lee, Min-Ku Asymptotic approach to the pricing of geometric Asian options under the CEV model. (English) Zbl 1375.91226 Chaos Solitons Fractals 91, 544-548 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{M.-K. Lee}, Chaos Solitons Fractals 91, 544--548 (2016; Zbl 1375.91226) Full Text: DOI
Lee, Min-Ku; Kim, Jeong-Hoon A delayed stochastic volatility correction to the constant elasticity of variance model. (English) Zbl 1411.91570 Acta Math. Appl. Sin., Engl. Ser. 32, No. 3, 611-622 (2016). MSC: 91G20 60H30 60G44 PDF BibTeX XML Cite \textit{M.-K. Lee} and \textit{J.-H. Kim}, Acta Math. Appl. Sin., Engl. Ser. 32, No. 3, 611--622 (2016; Zbl 1411.91570) Full Text: DOI
Zhang, Miao; Chen, Ping Mean-variance asset-liability management under constant elasticity of variance process. (English) Zbl 1371.91173 Insur. Math. Econ. 70, 11-18 (2016). MSC: 91G10 60H30 93E20 PDF BibTeX XML Cite \textit{M. Zhang} and \textit{P. Chen}, Insur. Math. Econ. 70, 11--18 (2016; Zbl 1371.91173) Full Text: DOI
Li, Danping; Rong, Ximin; Zhao, Hui Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model. (English) Zbl 1414.91213 J. Syst. Sci. Complex. 29, No. 2, 428-454 (2016). MSC: 91B30 PDF BibTeX XML Cite \textit{D. Li} et al., J. Syst. Sci. Complex. 29, No. 2, 428--454 (2016; Zbl 1414.91213) Full Text: DOI
Jang, Kyu-Hwan; Lee, Min-Ku Arithmetic average Asian options with stochastic elasticity of variance. (English) Zbl 1347.91230 J. Korean Soc. Ind. Appl. Math. 20, No. 2, 123-135 (2016). MSC: 91G20 60H30 60H10 60J60 PDF BibTeX XML Cite \textit{K.-H. Jang} and \textit{M.-K. Lee}, J. Korean Soc. Ind. Appl. Math. 20, No. 2, 123--135 (2016; Zbl 1347.91230) Full Text: DOI Link
Lorig, Matthew; Lozano-Carbassé, Oriol; Mendoza-Arriaga, Rafael Variance swaps on defaultable assets and market implied time-changes. (English) Zbl 1338.91141 SIAM J. Financ. Math. 7, 273-307 (2016). MSC: 91G20 60J75 60G51 60G99 91G40 PDF BibTeX XML Cite \textit{M. Lorig} et al., SIAM J. Financ. Math. 7, 273--307 (2016; Zbl 1338.91141) Full Text: DOI
Zheng, Xiaoxiao; Zhou, Jieming; Sun, Zhongyang Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model. (English) Zbl 1348.91195 Insur. Math. Econ. 67, 77-87 (2016). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{X. Zheng} et al., Insur. Math. Econ. 67, 77--87 (2016; Zbl 1348.91195) Full Text: DOI
Kim, Jai Heui A convergence of optimal investment strategies for the HARA utility functions. (English) Zbl 1411.91292 East Asian Math. J. 31, No. 1, 91-101 (2015). MSC: 91B30 91B16 93E20 PDF BibTeX XML Cite \textit{J. H. Kim}, East Asian Math. J. 31, No. 1, 91--101 (2015; Zbl 1411.91292) Full Text: DOI
Hou, Yingli; Liu, Guoxin A mean-variance problem in the constant elasticity of variance model. (English) Zbl 1340.91110 Commun. Math. Res. 31, No. 3, 242-252 (2015). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{Y. Hou} and \textit{G. Liu}, Commun. Math. Res. 31, No. 3, 242--252 (2015; Zbl 1340.91110) Full Text: DOI
Zhou, Jieming; Deng, Yingchun; Huang, Ya; Yang, Xiangqun Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle. (English) Zbl 1340.91070 Acta Math. Sci., Ser. B, Engl. Ed. 35, No. 2, 303-312 (2015). MSC: 91B30 62P05 93E20 PDF BibTeX XML Cite \textit{J. Zhou} et al., Acta Math. Sci., Ser. B, Engl. Ed. 35, No. 2, 303--312 (2015; Zbl 1340.91070) Full Text: DOI
Yang, Sung-Jin; Kim, Jeong-Hoon; Lee, Min-Ku Portfolio optimization for pension plans under hybrid stochastic and local volatility. (English) Zbl 1363.90269 Appl. Math., Praha 60, No. 2, 197-215 (2015). Reviewer: Tak Kuen Siu (Sydney) MSC: 90C39 90C59 90C90 91G10 PDF BibTeX XML Cite \textit{S.-J. Yang} et al., Appl. Math., Praha 60, No. 2, 197--215 (2015; Zbl 1363.90269) Full Text: DOI Link
Li, Danping; Rong, Ximin; Zhao, Hui Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model. (English) Zbl 1308.91088 J. Comput. Appl. Math. 283, 142-162 (2015). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{D. Li} et al., J. Comput. Appl. Math. 283, 142--162 (2015; Zbl 1308.91088) Full Text: DOI
Shen, Yang; Zhang, Xin; Siu, Tak Kuen Mean-variance portfolio selection under a constant elasticity of variance model. (English) Zbl 1408.91203 Oper. Res. Lett. 42, No. 5, 337-342 (2014). MSC: 91G10 93E20 91G80 PDF BibTeX XML Cite \textit{Y. Shen} et al., Oper. Res. Lett. 42, No. 5, 337--342 (2014; Zbl 1408.91203) Full Text: DOI
Kim, Jeong-Hoon; Park, Sang-Hyeon A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion. (English) Zbl 1328.60161 Stat. Probab. Lett. 94, 39-47 (2014). MSC: 60H30 60H10 60J60 91G80 PDF BibTeX XML Cite \textit{J.-H. Kim} and \textit{S.-H. Park}, Stat. Probab. Lett. 94, 39--47 (2014; Zbl 1328.60161) 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
Li, Danping; Rong, Ximin; Zhao, Hui Optimal reinsurance-investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model. (English) Zbl 1291.91120 J. Comput. Appl. Math. 255, 671-683 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{D. Li} et al., J. Comput. Appl. Math. 255, 671--683 (2014; Zbl 1291.91120) Full Text: DOI
Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard A tractable model for indices approximating the growth optimal portfolio. (English) Zbl 1283.91198 Stud. Nonlinear Dyn. Econom. 18, No. 1, 1-21 (2014). MSC: 91G70 91G10 62G07 91G20 PDF BibTeX XML Cite \textit{J. Baldeaux} et al., Stud. Nonlinear Dyn. Econom. 18, No. 1, 1--21 (2014; Zbl 1283.91198) Full Text: DOI
Yoon, Ji-Hun; Kim, Jeong-Hoon; Choi, Sun-Yong Multiscale analysis of a perpetual American option with the stochastic elasticity of variance. (English) Zbl 1308.91174 Appl. Math. Lett. 26, No. 7, 670-675 (2013). MSC: 91G20 PDF BibTeX XML Cite \textit{J.-H. Yoon} et al., Appl. Math. Lett. 26, No. 7, 670--675 (2013; Zbl 1308.91174) Full Text: DOI
Zhang, Chubing; Rong, Ximin; Zhao, Hui; Hou, Rujing Optimal investment for the defined-contribution pension with stochastic salary under a CEV model. (English) Zbl 1299.91133 Appl. Math., Ser. B (Engl. Ed.) 28, No. 2, 187-203 (2013). MSC: 91G10 91G80 60H30 PDF BibTeX XML Cite \textit{C. Zhang} et al., Appl. Math., Ser. B (Engl. Ed.) 28, No. 2, 187--203 (2013; Zbl 1299.91133) Full Text: DOI
Choi, Sun-Yong; Fouque, Jean-Pierre; Kim, Jeong-Hoon Option pricing under hybrid stochastic and local volatility. (English) Zbl 1281.91155 Quant. Finance 13, No. 8, 1157-1165 (2013). MSC: 91G20 PDF BibTeX XML Cite \textit{S.-Y. Choi} et al., Quant. Finance 13, No. 8, 1157--1165 (2013; Zbl 1281.91155) Full Text: DOI
Deguillaume, Nick; Rebonato, Riccardo; Pogudin, Andrey The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship. (English) Zbl 1280.91197 Quant. Finance 13, No. 3, 351-367 (2013). MSC: 91G70 91B82 91G30 PDF BibTeX XML Cite \textit{N. Deguillaume} et al., Quant. Finance 13, No. 3, 351--367 (2013; Zbl 1280.91197) Full Text: DOI
Jessen, Cathrine; Poulsen, Rolf Empirical performance of models for barrier option valuation. (English) Zbl 1280.91171 Quant. Finance 13, No. 1, 1-11 (2013). MSC: 91G20 PDF BibTeX XML Cite \textit{C. Jessen} and \textit{R. Poulsen}, Quant. Finance 13, No. 1, 1--11 (2013; Zbl 1280.91171) Full Text: DOI
Glover, Kristoffer; Hulley, Hardy; Peskir, Goran Three-dimensional Brownian motion and the golden ratio rule. (English) Zbl 1408.60032 Ann. Appl. Probab. 23, No. 3, 895-922 (2013). MSC: 60G40 60J60 60J65 34A34 49J40 60G44 PDF BibTeX XML Cite \textit{K. Glover} et al., Ann. Appl. Probab. 23, No. 3, 895--922 (2013; Zbl 1408.60032) Full Text: DOI Euclid arXiv
Thakoor, N.; Tangman, D. Y.; Bhuruth, M. A new fourth-order numerical scheme for option pricing under the CEV model. (English) Zbl 1262.91073 Appl. Math. Lett. 26, No. 1, 160-164 (2013). MSC: 91B25 PDF BibTeX XML Cite \textit{N. Thakoor} et al., Appl. Math. Lett. 26, No. 1, 160--164 (2013; Zbl 1262.91073) Full Text: DOI
Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. (English) Zbl 1285.91057 Insur. Math. Econ. 51, No. 3, 674-684 (2012). MSC: 91B30 91G10 49L20 93E20 PDF BibTeX XML Cite \textit{A. Gu} et al., Insur. Math. Econ. 51, No. 3, 674--684 (2012; Zbl 1285.91057) Full Text: DOI
Jung, Eun Ju; Kim, Jai Heui Optimal investment strategies for the HARA utility under the constant elasticity of variance model. (English) Zbl 1285.91119 Insur. Math. Econ. 51, No. 3, 667-673 (2012). MSC: 91G10 91B30 60H30 49L20 93E20 PDF BibTeX XML Cite \textit{E. J. Jung} and \textit{J. H. Kim}, Insur. Math. Econ. 51, No. 3, 667--673 (2012; Zbl 1285.91119) Full Text: DOI
Peng, Bin; Peng, Fei Pricing the constant elasticity of variance trinary option. (English) Zbl 1240.91169 J. East China Norm. Univ., Nat. Sci. Ed. 2011, No. 2, 1-9 (2011). MSC: 91G20 91B25 62P05 PDF BibTeX XML Cite \textit{B. Peng} and \textit{F. Peng}, J. East China Norm. Univ., Nat. Sci. Ed. 2011, No. 2, 1--9 (2011; Zbl 1240.91169) Full Text: DOI
Abramov, Vyacheslav M.; Klebaner, Fima C.; Lipster, Robert Sh. The Euler-Maruyama approximations for the CEV model. (English) Zbl 1230.65005 Discrete Contin. Dyn. Syst., Ser. B 16, No. 1, 1-14 (2011). Reviewer: Gong Guanglu (Beijing) MSC: 65C30 60H20 60H35 91G60 45R05 91B30 PDF BibTeX XML Cite \textit{V. M. Abramov} et al., Discrete Contin. Dyn. Syst., Ser. B 16, No. 1, 1--14 (2011; Zbl 1230.65005) Full Text: DOI
Park, Sang-Hyeon; Kim, Jeong-Hoon Asymptotic option pricing under the CEV diffusion. (English) Zbl 1202.91324 J. Math. Anal. Appl. 375, No. 2, 490-501 (2011). MSC: 91G20 91G80 PDF BibTeX XML Cite \textit{S.-H. Park} and \textit{J.-H. Kim}, J. Math. Anal. Appl. 375, No. 2, 490--501 (2011; Zbl 1202.91324) 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
Wong, Hoi Ying; Zhao, Jing Valuing American options under the CEV model by Laplace-Carson transforms. (English) Zbl 1202.91329 Oper. Res. Lett. 38, No. 5, 474-481 (2010). MSC: 91G20 44A10 PDF BibTeX XML Cite \textit{H. Y. Wong} and \textit{J. Zhao}, Oper. Res. Lett. 38, No. 5, 474--481 (2010; Zbl 1202.91329) 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
Makarov, Roman N. Adaptive (quasi-)Monte Carlo methods for pricing path-dependent options. (English) Zbl 1182.91203 L’ Ecuyer, Pierre (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2008. Proceedings of the 8th international conference Monte Carlo and quasi-Monte Carlo methods in scientific computing, Montréal, Canada, July 6–11, 2008. Berlin: Springer (ISBN 978-3-642-04106-8/hbk). 529-544 (2009). MSC: 91G60 91B25 91G20 65C05 65D30 PDF BibTeX XML Cite \textit{R. N. Makarov}, in: Monte Carlo and quasi-Monte Carlo methods 2008. Proceedings of the 8th international conference Monte Carlo and quasi-Monte Carlo methods in scientific computing, Montréal, Canada, July 6--11, 2008. Berlin: Springer. 529--544 (2009; Zbl 1182.91203) Full Text: DOI
Svoboda-Greenwood, Simona Displaced diffusion as an approximation of the constant elasticity of variance. (English) Zbl 1180.91295 Appl. Math. Finance 16, No. 3-4, 269-286 (2009). MSC: 91G20 91G80 PDF BibTeX XML Cite \textit{S. Svoboda-Greenwood}, Appl. Math. Finance 16, No. 3--4, 269--286 (2009; Zbl 1180.91295) Full Text: DOI
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
Wong, Hoi Ying; Zhao, Jing An artificial boundary method for american option pricing under the CEV model. (English) Zbl 1178.35363 SIAM J. Numer. Anal. 46, No. 4, 2183-2209 (2008). Reviewer: Qin Mengzhao (Beijing) MSC: 35Q91 35K20 91G10 35A35 65N06 PDF BibTeX XML Cite \textit{H. Y. Wong} and \textit{J. Zhao}, SIAM J. Numer. Anal. 46, No. 4, 2183--2209 (2008; Zbl 1178.35363) Full Text: DOI
Hsu, Y. L.; Lin, T. I.; Lee, C. F. Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation. (English) Zbl 1144.91325 Math. Comput. Simul. 79, No. 1, 60-71 (2008). MSC: 91G20 PDF BibTeX XML Cite \textit{Y. L. Hsu} et al., Math. Comput. Simul. 79, No. 1, 60--71 (2008; Zbl 1144.91325) Full Text: DOI
Kahl, C.; Günther, M.; Rossberg, T. Structure preserving stochastic integration schemes in interest rate derivative modeling. (English) Zbl 1141.65323 Appl. Numer. Math. 58, No. 3, 284-295 (2008). Reviewer: Grigori N. Milstein (Ekaterinburg) MSC: 65C30 60H10 60H35 91B26 PDF BibTeX XML Cite \textit{C. Kahl} et al., Appl. Numer. Math. 58, No. 3, 284--295 (2008; Zbl 1141.65323) Full Text: DOI
Chan, Jennifer S. K.; Choy, S. T. Boris; Lee, Anna B. W. Bayesian analysis of constant elasticity of variance models. (English) Zbl 1144.91035 Appl. Stoch. Models Bus. Ind. 23, No. 1, 83-96 (2007). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B70 91B82 91B28 PDF BibTeX XML Cite \textit{J. S. K. Chan} et al., Appl. Stoch. Models Bus. Ind. 23, No. 1, 83--96 (2007; Zbl 1144.91035) 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
Peng, Wangxiang; Qin, Chenglin Optimal portfolio choice with fixed consumption under CEV model. (Chinese. English summary) Zbl 1139.91340 J. Shanghai Univ., Nat. Sci. 12, No. 2, 203-206 (2006). MSC: 91B28 PDF BibTeX XML Cite \textit{W. Peng} and \textit{C. Qin}, J. Shanghai Univ., Nat. Sci. 12, No. 2, 203--206 (2006; Zbl 1139.91340)
Linetsky, Vadim Lookback options and diffusion hitting times: a spectral expansion approach. (English) Zbl 1065.60105 Finance Stoch. 8, No. 3, 373-398 (2004). Reviewer: Yuliya Mishura MSC: 60J35 60J60 60G70 91G20 PDF BibTeX XML Cite \textit{V. Linetsky}, Finance Stoch. 8, No. 3, 373--398 (2004; Zbl 1065.60105) Full Text: DOI
Delbaen, Freddy; Shirakawa, Hiroshi A note on option pricing for the constant elasticity of variance model. (English) Zbl 1072.91020 Asia-Pac. Financ. Mark. 9, No. 2, 85-99 (2002). Reviewer: Miguel Ángel Mirás Calvo (Vigo) MSC: 91G20 PDF BibTeX XML Cite \textit{F. Delbaen} and \textit{H. Shirakawa}, Asia-Pac. Financ. Mark. 9, No. 2, 85--99 (2002; Zbl 1072.91020) Full Text: DOI
Lo, C. F.; Yuen, P. H.; Hui, C. H. Pricing barrier options with square root process. (English) Zbl 1154.91461 Int. J. Theor. Appl. Finance 4, No. 5, 805-818 (2001). MSC: 91B28 60H15 PDF BibTeX XML Cite \textit{C. F. Lo} et al., Int. J. Theor. Appl. Finance 4, No. 5, 805--818 (2001; Zbl 1154.91461) Full Text: DOI
Costantini, C. A simple variance reduction method with applications to finance and queueing theory. (English) Zbl 1013.65005 Monte Carlo Methods Appl. 7, No. 1-2, 131-139 (2001). Reviewer: Wolfgang zu Castell (Neuherberg) MSC: 65C30 60H10 60H35 60K25 91G60 PDF BibTeX XML Cite \textit{C. Costantini}, Monte Carlo Methods Appl. 7, No. 1--2, 131--139 (2001; Zbl 1013.65005) Full Text: DOI
Lo, C. F.; Yuen, P. H.; Hui, C. H. Constant elasticity of variance option pricing model with time-dependent parameters. (English) Zbl 1006.91050 Int. J. Theor. Appl. Finance 3, No. 4, 661-674 (2000). Reviewer: Leszek Zaremba (Warszawa) MSC: 91G20 PDF BibTeX XML Cite \textit{C. F. Lo} et al., Int. J. Theor. Appl. Finance 3, No. 4, 661--674 (2000; Zbl 1006.91050) Full Text: DOI
Lo, C. F.; Yuen, P. H.; Hui, C. H. Option risk measurement with time-dependent parameters. (English) Zbl 0978.91046 Int. J. Theor. Appl. Finance 3, No. 3, 581-589 (2000). Reviewer: Josef Steinebach (Marburg) MSC: 91B28 PDF BibTeX XML Cite \textit{C. F. Lo} et al., Int. J. Theor. Appl. Finance 3, No. 3, 581--589 (2000; Zbl 0978.91046) Full Text: DOI