Pricing volatility-equity options under the modified constant elasticity of variance model
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2020.101493
Abstract: Abstract This paper studies volatility-equity options such as the target volatility options and the double digital call under the modified constant elasticity of variance model. Adopting the benchmark approach, we derive the analytical pricing formulae… read more here.
Keywords: elasticity variance; volatility; equity options; constant elasticity ... See more keywords
Optimal investment strategies for general utilities under dynamic elasticity of variance models
Sign Up to like & getrecommendations! Published in 2018 at "Quantitative Finance"
DOI: 10.1080/14697688.2017.1397284
Abstract: This paper studies the optimal investment strategies under the dynamic elasticity of variance (DEV) model which maximize the expected utility of terminal wealth. The DEV model is an extension of the constant elasticity of variance… read more here.
Keywords: investment strategies; optimal investment; dynamic elasticity; elasticity variance ... See more keywords
Valuation of options under a constant elasticity of variance process and stochastic volatility
Sign Up to like & getrecommendations! Published in 2021 at "Quantitative Finance"
DOI: 10.1080/14697688.2021.1878258
Abstract: In this paper, we price European call options under a constant elasticity of variance process for the asset price and stochastic volatility. In particular, we derive an analytic approximation formula in the form of asymptotic… read more here.
Keywords: stochastic volatility; elasticity variance; constant elasticity; options constant ... See more keywords
Optimal Investment Policy for Insurers under the Constant Elasticity of Variance Model with a Correlated Random Risk Process
Sign Up to like & getrecommendations! Published in 2020 at "Mathematical Problems in Engineering"
DOI: 10.1155/2020/3143840
Abstract: This paper investigates the optimal portfolio choice problem for a large insurer with negative exponential utility over terminal wealth under the constant elasticity of variance (CEV) model. The surplus process is assumed to follow a… read more here.
Keywords: constant elasticity; process; model; elasticity variance ... See more keywords