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- W166133076 abstract "University of Calabria, Ponte Bucci, cubo 3b, Rende (CS), ItalyEmail: massimo.costabile@unical.itAbstract. We consider the problem of pricing barrier and lookback European call optionswhen the underlying asset price is driven by a Costant Elasticity of Variance (CEV) process. Theevaluation model is based on the binomial approximation developed by Nelson and Ramaswamy [12]and we show how to apply it in the case of the options above mentioned. As a result we develop verysimple pricing algorithms that are very efficient in comparison with other existing pricing methods." @default.
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- W166133076 date "2004-01-01" @default.
- W166133076 modified "2023-09-27" @default.
- W166133076 title "On Pricing Exotic Options under the CEV Process" @default.
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