Option Pricing under the CEV Model in a Composite-diffusive Regime
Zhidong Guo, Yunliang Zhang
Available Online July 2018.
- https://doi.org/10.2991/msam-18.2018.24How to use a DOI?
- pricing; CEV model; stable subordinator; asymptotic expansion
- Constant elasticity of variance model for option pricing in a composite-diffusive regime is established. We obtain the Black-Scholes differential equation and the corresponding Black-Scholes formula for the prices of European call option. Furthermore, we discuss an asymptotic expansion of the European call option price as the elasticity factor tends to 2.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Zhidong Guo AU - Yunliang Zhang PY - 2018/07 DA - 2018/07 TI - Option Pricing under the CEV Model in a Composite-diffusive Regime BT - Proceedings of the 2018 3rd International Conference on Modelling, Simulation and Applied Mathematics (MSAM 2018) PB - Atlantis Press SP - 105 EP - 109 SN - 1951-6851 UR - https://doi.org/10.2991/msam-18.2018.24 DO - https://doi.org/10.2991/msam-18.2018.24 ID - Guo2018/07 ER -