Pricing and Hedging Path-Dependent Options Under the CEV Process

By Dmitry Davydov, Vadim Linetsky. Management Sciences, 2001

345 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/6caecd012aa266a5f96e18c057493e7c75df441f

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Citations in the corpus

• Constant elasticity of variance model for proportional reinsurance and investment strategies (2010, methodology): “The CEV model was usually applied to calculating the theoretical price, sensitivities and implied volatility of options (e.g. Cox, 1996; Lo et al., 2000; Davydov and Linetsky, 2001; Detemple and Tian, 2002; Jones, 2003; Widdicks et al., 2005).”
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model (2009, methodology): “The CEV model was usually applied to analyzing the options and an asset pricing formula, see, e.g., MacBeth and Merville (1980), Schroder (1989), Cox (1996), Davydov and Linetsky (2001), Detemple and Tian (2002), Jones (2003) and Hsu et al. (2008).”
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (2004, methodology): “See Lewis (1998) for the calculation of the bankruptcy claim in Merton s cash dividen model, Davydov and Linetsky (2001) for the calculation of the bankruptcy claim in the CEV model, and Davydov and Linetsky (2003) for the pricing of barrier options with rebates in the CEV model.”
• Analysis of quadrature methods for pricing discrete barrier options (2007, background): “in Cox (1996), Emanuel and MacBeth (1982), Goldenberg (1991) and Davydov and Linestky (2001). As in Lo et al.”
• A Jump-Diffusion Model for Option Pricing (2002, neutral): “Like the double exponential jump-diffusion model, analytical solutions for pathdependent options (see Davydov and Linetsky 2001) and interest rate derivatives (e.g., Cox et al. 1985 and Andersen and Andersen 2000) are available under the CEV model.”
• Option pricing under hybrid stochastic and local volatility (2013, methodology): “For example, see Boyle and Tian (1999), Boyle et al. (1999), Davydov and Linetsky (2001, 2003), Lipton and McGhee (2002), and Linetsky (2004) for studies of exotic options, and Beckers (1980), Emanuel and MacBeth (1982), Schroder (1989), Delbaen and Shirakawa (2002), and Carr and Linetsky (2006)…”
• Option Pricing Under a Double Exponential Jump Diffusion Model (2004, neutral): “…to use the reflection principle to study the first passage times, the dependence structure between the overshoot and the terminal value X t is also needed 4 Davydov and Linetsky (2001, 2003) provide analytical solutions for various path-dependent options under the CEV diffusion model. afterward.”
• On the martingale property of certain local martingales (2009, methodology): “This model was first proposed by Cox [10] for α ≤ 1 and Emanuel and MacBeth [15] for α > 1 (see also Davydov and Linetsky [11] and the references therein).”
• Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007, background): “…to price Asian options in the Black–Scholes setting; Laplace transforms for double-barrier and lookback options under the CEV model are given in Davydov and Linetsky (2001); Petrella and Kou (2004) use a recursion and Laplace transforms to price discretely monitored barrier and lookback…”