Constant Elasticity of Variance Option Pricing Model With Time-Dependent Parameters

By C. Lo, P. H. Yuen, C. Hui. 2000

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Subfields: Finance

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Constant elasticity of variance model for proportional reinsurance and investment strategies (2010, methodology): “Let S1 denote the price process of the risky asset, which is described by the CEVmodel (Lo et al., 2000; Jones, 2003): dS1(t) = r1S1(t)dt + σ S β+1 1 (t)dW 1(t) (2.4) where r1 is an expected instantaneous rate of return of the risky asset and satisfies the general condition r1 > r0. σ S β 1 (t) is t”
A Benchmark Approach to Quantitative Finance (2006, unknown): “• numeraire portfolio (NP) as benchmark Long (1990) V ∗ is best performing in several ways • is growth optimal portfolio Kelly (1956) V ∗ = maxE(log VT ) π1∗ t = μt − γ − rt σ(2) t = θt σt dV ∗ t V ∗ t = rt dt+ θt(θt dt+ dWt) Merton (1992) c © Copyright Eckhard Platen 10 BA - Toronto C 7 226”
Self Exciting Threshold Interest Rates Models (2006, background): “, Schroder [38] and Lo, Yuen and Hui [31].”