Computing the CEV option pricing formula using the semiclassical approximation of path integral-Reference-Cited by-同舟云学术

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Computing the CEV option pricing formula using the semiclassical approximation of path integral

Published:2021-05 Issue: Volume:388 Page:113244
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Araneda Axel A.,Villena Marcelo J.

Funder

Operational Programme Research, Development and Education

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference67 articles.

1. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

2. Asymmetric volatility and risk in equity markets;Bekaert;Rev. Financ. Stud.,2000

3. Leverage and volatility feedback effects in high-frequency data;Bollerslev;J. Financ. Econ.,2006

4. Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August 23, 1976 through August 31, 1978;Rubinstein;J. Finance,1985

5. Recovering probability distributions from option prices;Jackwerth;J. Finance,1996

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. European Option Pricing Under Fuzzy CEV Model;Journal of Optimization Theory and Applications;2022-09-29

2. Semiclassical Pricing of Variance Swaps in the CEV Model;Mathematical and Statistical Methods for Actuarial Sciences and Finance;2022

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