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http://dx.doi.org/10.14403/jcms.2020.33.2.181

THE PRICING OF VULNERABLE OPTIONS UNDER A CONSTANT ELASTICITY OF VARIANCE MODEL  

U, Junhui (Department of Mathematics Pusan National University)
Kim, Donghyun (Department of Mathematics Pusan National University)
Yoon, Ji-Hun (Department of Mathematics Pusan National University)
Publication Information
Journal of the Chungcheong Mathematical Society / v.33, no.2, 2020 , pp. 181-195 More about this Journal
Abstract
This paper suggests the price of vulnerable European option under a constant elasticity of variance model by using asymptotic analysis technique and obtains the approximated solution of the option price. Finally, we illustrate an accuracy of the vulnerable option price so that the approximate solution is well-defined.
Keywords
CEV model; Vulnerable option; Asymptotic analysis; Option pricing; Feynman-Kac formula;
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