A Note on Option Pricing for the Constant Elasticity of Variance Model View Full Text


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Article Info

DATE

2002-06

AUTHORS

Freddy Delbaen, Hiroshi Shirakawa

ABSTRACT

We study the arbitrage free optionpricing problem for the constant elasticity of variance (CEV) model. To treatthestochastic aspect of the CEV model, we direct attention to the relationship between the CEV modeland squared Bessel processes. Then we show the existence of a unique equivalentmartingale measure and derive the Cox's arbitrage free option pricing formulathrough the properties of squared Bessel processes. Finally we show that the CEVmodel admits arbitrage opportunities when it is conditioned to be strictlypositive. More... »

PAGES

85-99

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1023/a:1022269617674

DOI

http://dx.doi.org/10.1023/a:1022269617674

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1010259142


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