Top

Hint

Swipe to navigate through the chapters of this book

Published in:

Read chapter Read first chapter

2019 | OriginalPaper | Chapter

2. Exact Solutions to CEV Model with Stochastic Volatility

Authors : Alexandre Antonov, Michael Konikov, Michael Spector

Published in: Modern SABR Analytics

Publisher: Springer International Publishing

Abstract

In this chapter, we discuss the classic CEV model and the CEV model with stochastic volatility. We derive PDF and option values for the CEV, based on analysis of solutions close to a singular point. For a general stochastic volatility, we obtain the option price in terms of the moment generating functions, assuming zero-correlation between asset and volatility [11].

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Wirtschaft"