Valuation of options under a constant elasticity of variance process and stochastic volatility
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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