Proceedings of the 2018 3rd International Conference on Modelling, Simulation and Applied Mathematics (MSAM 2018)

Option Pricing under the CEV Model in a Composite-diffusive Regime

Authors
Zhidong Guo, Yunliang Zhang
Corresponding Author
Zhidong Guo
Available Online July 2018.
DOI
https://doi.org/10.2991/msam-18.2018.24How to use a DOI?
Keywords
pricing; CEV model; stable subordinator; asymptotic expansion
Abstract
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.
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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  -