# Constant elasticity of variance model

## Papers overview

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2015

2015

- Oper. Res. Lett.
- 2015

This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constantâ€¦Â (More)

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2015

2015

- 2015

We consider an investment and consumption problem under the constant elasticity of variance (CEV)model, which is an extension ofâ€¦Â (More)

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2014

2014

- 2014

In order to solve numerically the constant elasticity of variance (CEV) model for pricing of European call option, we propose inâ€¦Â (More)

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2013

2013

- 2013

The pricing of option contracts is one of the classical problems in Mathematical Finance. While useful exact solution formulasâ€¦Â (More)

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2013

2013

- 2013

Abstract In this work we propose an approximate numerical method for pricing of options for the constant elasticity of varianceâ€¦Â (More)

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Review

2009

Review

2009

- 2009

The constant elasticity of variance (CEV) spot price model is a one-dimensional diffusion model with the instantaneous volatilityâ€¦Â (More)

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2009

2009

- 2009

This paper considers a modified constant elasticity of variance (MCEV) model. This model uses the familiar constant elasticity ofâ€¦Â (More)

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2006

2006

- 2006

We give results on the probability of absorption at zero of the diffusion process with non-Lipschitz diffusion coefficient dXtâ€¦Â (More)

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2005

2005

- 2005

A binomial model is developed to value options when the underlying process follows the constant elasticity of variance (CEVâ€¦Â (More)

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2003

2003

- 2003

We study the arbitrage free option pricing problem for constant elasticity of variance (CEV) model. To treat the stochasticâ€¦Â (More)

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