A note on options and bubbles under the CEV model: implications for pricing and hedging
Author:
Funder
Fundação para a Ciência e Tecnologia
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
http://link.springer.com/content/pdf/10.1007/s11147-019-09164-x.pdf
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4. Bakshi, G., Kapadia, N., & Madan, D. (2003). Stock return characteristics, skew laws, and the differential pricing of invididual equity options. Review of Financial Studies, 16, 101–143.
5. Bakshi, G., Madan, D., & Panayotov, G. (2010). Returns of claims on the upside and the viability of U-shaped pricing kernels. Journal of Financial Economics, 97, 130–154.
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