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- W2362686011 abstract "This paper provides a method for pricing options in the constant elasticity of variance(CEV) model environment using the Lie-algebraic technique when the model parameters are time-dependent. Analytical solutions for the option values incorporating time-dependent model parameters are obtained in various CEV processes with different elasticity factors. The numerical results indicate that option values are sensitive to volatility term structures. It is also possible to generate further results using various functional forms for interest rate and dividend term structures.Furthermore, the Lie-algebraic approach is very simple and can be easily extended to other option pricing models with well-difined algebraic structures,example:Valuation of single-barrier CEV options with transaction costs." @default.
- W2362686011 created "2016-06-24" @default.
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- W2362686011 date "2008-01-01" @default.
- W2362686011 modified "2023-09-24" @default.
- W2362686011 title "Time-dependent Parameters of Constant Elasticity of Variance Option Pricing Model with Transaction Costs" @default.
- W2362686011 hasPublicationYear "2008" @default.
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