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Quantitative Finance Volume 2, 2002 - Issue 6
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Research papers

Consistent pricing and hedging for a modified constant elasticity of variance model

David Heath University of Technology Sydney, School of Finance and Economics and Department of Mathematical Sciences, PO Box 123, Broadway, NSW, 2007, Australia
&
Eckhard Platen University of Technology Sydney, School of Finance and Economics and Department of Mathematical Sciences, PO Box 123, Broadway, NSW, 2007, Australia
Pages 459-467 | Received 14 Jun 2002, Accepted 23 Oct 2002, Published online: 15 Jul 2010

Citations (17)

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Read on this site (2)

ShaneM. Miller & Eckhard Platen. (2010) Real-World Pricing for a Modified Constant Elasticity of Variance Model. Applied Mathematical Finance 17:2, pages 147-175.
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David Heath & Eckhard Platen. (2006) Local volatility function models under a benchmark approach. Quantitative Finance 6:3, pages 197-206.
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Articles from other publishers (15)

Marcos Escobar & Wei Li Fan. (2023) A New Type of Cev Model. Properties, Comparison and Application to Portfolio Optimization. SSRN Electronic Journal.
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Xingchun Wang. (2021) Pricing volatility-equity options under the modified constant elasticity of variance model. Finance Research Letters 38, pages 101493.
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D. L. Muravei. (2018) Optimal Portfolio Management in a Modified Constant Elasticity of Variance Model. Computational Mathematics and Modeling 29:1, pages 110-119.
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Ke Du & Eckhard Platen. (2016) BENCHMARKED RISK MINIMIZATION. Mathematical Finance 26:3, pages 617-637.
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Leunglung Chan & Eckhard Platen. (2015) Pricing volatility derivatives under the modified constant elasticity of variance model. Operations Research Letters 43:4, pages 419-422.
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I. Venkat Appal Raju. 2015. Systems Thinking Approach for Social Problems. Systems Thinking Approach for Social Problems 319 333 .
Jeong-Hoon Kim, Jungwoo Lee, Song-Ping Zhu & Seok-Hyon Yu. (2014) A multiscale correction to the Black-Scholes formula. Applied Stochastic Models in Business and Industry 30:6, pages 753-765.
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Jan Baldeaux, Katja Ignatieva & Eckhard Platen. (2014) A tractable model for indices approximating the growth optimal portfolio. Studies in Nonlinear Dynamics and Econometrics 18:1, pages 1-21.
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Johannes Ruf. (2012) HEDGING UNDER ARBITRAGE. Mathematical Finance 23:2, pages 297-317.
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Jan Baldeaux & Eckhard PlatenJan Baldeaux & Eckhard Platen. 2013. Functionals of Multidimensional Diffusions with Applications to Finance. Functionals of Multidimensional Diffusions with Applications to Finance 65 99 .
Peter Carr & Vadim Linetsky. (2006) A jump to default extended CEV model: an application of Bessel processes. Finance and Stochastics 10:3, pages 303-330.
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Bernard Wong & C. C. Heyde. (2016) On the martingale property of stochastic exponentials. Journal of Applied Probability 41:3, pages 654-664.
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Eckhard Platen. (2016) A class of complete benchmark models with intensity-based jumps. Journal of Applied Probability 41:1, pages 19-34.
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Eckhard Platen & Wolfgang J. Runggaldier. (2004) A Benchmark Approach to Filtering in Finance. Asia-Pacific Financial Markets 11:1, pages 79-105.
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Eckhard Platen. (2004) Diversified Portfolios with Jumps in a Benchmark Framework. Asia-Pacific Financial Markets 11:1, pages 1-22.
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