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Asia-Pacific Financial Markets
Volumn 9, Issue 2, 2002, Pages 85-99
A note on option pricing for the constant elasticity of variance model
Author keywords

Arbitrage; Constant elasticity of variance model; Equivalent martingale measure; Option pricing; Squared bessel process
Indexed keywords

EID: 42449152831     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1022269617674     Document Type: Article
Times cited : (78)
References (11)
  • 1
    • 0030328887 scopus 로고    scopus 로고
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    • Cox, J.C.1
  • 2
    • 33847554918 scopus 로고
    • The valuation of options for alternative stochastic processes
    • Cox, J. C. and Ross, S. (1975) The valuation of options for alternative stochastic processes, J. Financ. Econom. 3, 145-166.
    • (1975) J. Financ. Econom. , vol.3 , pp. 145-166
    • Cox, J.C.1    Ross, S.2
  • 3
    • 3042887139 scopus 로고
    • A survey of alternative option pricing models
    • M. Brenner (ed.), D. C. Heath, Lexington, Mass.
    • Cox, J. C. and Rubinstein, M. (1983) A survey of alternative option pricing models. In M. Brenner (ed.), Option Pricing, D. C. Heath, Lexington, Mass., pp. 3-33.
    • (1983) Option Pricing , pp. 3-33
    • Cox, J.C.1    Rubinstein, M.2
  • 4
    • 0001249935 scopus 로고
    • A general version of the fundamental theorem of asset pricing
    • Delbaen, F. and Schachermayer, W. (1994) A general version of the fundamental theorem of asset pricing, Mathematische Annalen 300, 463-520.
    • (1994) Mathematische Annalen , vol.300 , pp. 463-520
    • Delbaen, F.1    Schachermayer, W.2
  • 5
    • 21844493180 scopus 로고
    • Arbitrage possibilities in bessel processes and their relations to local martingales
    • Delbaen, F. and Schachermayer, W. (1995) Arbitrage possibilities in bessel processes and their relations to local martingales, Probability Related Fields 102, 357-366.
    • (1995) Probability Related Fields , vol.102 , pp. 357-366
    • Delbaen, F.1    Schachermayer, W.2
  • 6
    • 38649141305 scopus 로고
    • Martingales and arbitrage in multiperiod security markets
    • Harrison, J. M. and Kreps, D. M. (1979) Martingales and arbitrage in multiperiod security markets, J. Econom. Theory 20, 381-408.
    • (1979) J. Econom. Theory , vol.20 , pp. 381-408
    • Harrison, J.M.1    Kreps, D.M.2
  • 7
    • 41649091143 scopus 로고
    • Martingales and stochastic integrals in the theory of continuous trading
    • Harrison, J. M. and Pliska, S. R. (1981) Martingales and stochastic integrals in the theory of continuous trading, Stochastic Processes Applications 11, 381-408.
    • (1981) Stochastic Processes Applications , vol.11 , pp. 381-408
    • Harrison, J.M.1    Pliska, S.R.2
  • 8
    • 48749143189 scopus 로고
    • A stochastic calculus model of continuous time trading: Complete markets
    • Harrison, J. M. and Pliska, S. R. (1983) A stochastic calculus model of continuous time trading: complete markets, Stochastic Processes Applications 13, 313-316.
    • (1983) Stochastic Processes Applications , vol.13 , pp. 313-316
    • Harrison, J.M.1    Pliska, S.R.2
  • 11
    • 0000364811 scopus 로고
    • On some exponential functionals of Brownian motion
    • Yor, M. (1993) On some exponential functionals of Brownian motion, Advances Applied Probability 24, 509-531.
    • (1993) Advances Applied Probability , vol.24 , pp. 509-531
    • Yor, M.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.