A Note on Option Pricing for the Constant Elasticity of Variance Model

By Freddy Delbaen, H. Shirakawa. 2002

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Subfields: Finance

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On the martingale property of certain local martingales (2009, background): “The popularity of this model in mathematical finance stems from its analytical tractability: the prices of various options admit explicit analytic expressions (see Schroder [50], Davydov and Linetsky [12], Delbaen and Shirakawa [17], Carr and Linetsky [4]).”
Option pricing under hybrid stochastic and local volatility (2013, background): “…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) for general option pricing studies.”
Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005, background): “[6] Delbaen, F. and Shirakawa, H. (2002).”