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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2021.9
- 수록면
- 553 - 566 (14page)
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In the over-the-counter market, option's buyers could have a problem for default risk caused by option's writers. In addition, many participants try to maximize their benefits obviously in investing the financial derivatives. Taking all these circumstances into consideration, we deal with the vulnerable power options under a constant elasticity variance (CEV) model. We derive an analytic pricing formula for the vulnerable power option by using the asymptotic analysis, and then we verify that the analytic formula can be obtained accurately by comparing our solution with Monte-Carlo price. Finally, we examine the effect of CEV on the option price based on the derived solution.
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참고문헌 (15)
참고문헌 신청
F. Black / 1973 / The pricing of options and corporate liabilities / J. Polit. Econ 81(3):637~654
J. C. Cox / 1996 / The constant elasticity of variance option pricing model / J. Portf. Manag :15~17
H. Geman / 2008 / Modeling commodity prices under the CEV model / J. Altern. Invest 11(3):65~84
R. C. Heynen / 1996 / Pricing and hedging power options / Financ. Eng. Jpn. Mark 3(3):253~261
유천성 / 2021 / Some properties of degenerate Carlitz-type twisted q-Euler numbers and polynomials / Journal of Applied Mathematics and Informatics 39(1):1~11
J. C. Cox / 1996 / The constant elasticity of variance option pricing model / J. Portf. Manag :15~17
H. Geman / 2008 / Modeling commodity prices under the CEV model / J. Altern. Invest 11(3):65~84
R. C. Heynen / 1996 / Pricing and hedging power options / Financ. Eng. Jpn. Mark 3(3):253~261
유천성 / 2021 / Some properties of degenerate Carlitz-type twisted q-Euler numbers and polynomials / Journal of Applied Mathematics and Informatics 39(1):1~11
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