Pricing and hedging path-dependent options under the CEV process

Management Science

Volumn 47, Issue 7, 2001, Pages 949-965

  Davydov, Dmitry ^a,b   Linetsky, Vadim ^a,b  

^a UBS Warburg   (United States)

^b Northwestern University   (United States)

Author keywords

Barrier Options; CEV Model; Diffusion Processes; Generalized Bessel Process; Lookback Options; Path Dependent Options; Radial Ornstein Uhlenbeck Process

Indexed keywords

BROWNIAN MOVEMENT; CONTRACTS; DIFFUSION; ELASTICITY; LAPLACE TRANSFORMS; MATHEMATICAL MODELS;

CONSTANT ELASTICITY OF VARIANCE (CEV) MODELS; LOOKBACK OPTIONS;

MANAGEMENT SCIENCE;

EID: 0035410524     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.47.7.949.9804     Document Type: Article

References (47)

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