학술저널
The Pricing of Vulnerable Options under a Constant Elasticity of Variance Model
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 33, No. 2
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2020.05181 - 195 (15 pages)
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DOI : 10.14403/jcms.2020.33.2.181
- 118
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.
1. Introduction
2. Pricing vulnerable option under a CEV model
3. Conclusions
References
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