Singular diffusions, constant elasticity of variance processes and logarithmic rates of return-Reference-Cited by-同舟云学术

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Singular diffusions, constant elasticity of variance processes and logarithmic rates of return

Published:2020-01-12 Issue:9 Volume:26 Page:837-853
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Liu Siqi¹,Melia Adrian²,Song Xiaojing³,Tippett Mark⁴

Affiliation:

1. ICMA Centre, Henley Business School, University of Reading, Reading, UK

2. Business School, University of Newcastle, Callaghan, Australia

3. Newcastle University Business School, Newcastle upon Tyne, UK

4. Business School, University of Sydney, Sydney, Australia

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2019.1709526

Reference24 articles.

1. Empirical analysis and calibration of the CEV process for pricing equity default swaps

2. The Constant Elasticity of Variance Model and Its Implications For Option Pricing

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