A note on option pricing for the constant elasticity of variance model

被引：7

作者：

Delbaen F. ^{[1
]}

Shirakawa H. ^{[2
]}

机构：

[1] Department of Mathematics, Eidegenössische Technische Hochschule Zürich

[2] Department of Industrial Engineering and Management, Tokyo Institute of Technology, Meguro-ku, Tokyo 152

来源：

Asia-Pacific Financial Markets | 2002年 / 9卷 / 2期

关键词：

Arbitrage; Constant elasticity of variance model; Equivalent martingale measure; Option pricing; Squared bessel process;

D O I：

10.1023/A:1022269617674

中图分类号：

学科分类号：

摘要：

We study the arbitrage free option pricing problem for the constant elasticity of variance (CEV) model. To treat the stochastic aspect of the CEV model, we direct attention to the relationship between the CEV model and squared Bessel processes. Then we show the existence of a unique equivalent martingale measure and derive the Cox's arbitrage free option pricing formula through the properties of squared Bessel processes. Finally we show that the CEV model admits arbitrage opportunities when it is conditioned to be strictly positive. © 2002 Kluwer Academic Publishers.

引用

页码：85 / 99

页数：14