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Asymptotic option pricing under the CEV diffusion
Sang Hyeon Park,
Jeong Hoon Kim
Department of Mathematics
Research output
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Contribution to journal
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Article
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peer-review
23
Citations (Scopus)
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Dive into the research topics of 'Asymptotic option pricing under the CEV diffusion'. Together they form a unique fingerprint.
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Mathematics
Option Price
40%
Perturbation Theory
40%
Option Pricing
40%
Black-Scholes Model
40%
Closed Form
20%
Elasticities
20%
Diffusion
20%
Error Bound
20%
Asymptotic Expansion
20%
Variance Model
20%
Constant
20%
Parameters
20%
Diffusion
20%
Economics, Econometrics and Finance
Options
100%
Diffusion
40%
Black-Scholes Model
40%
Finance
40%
Price
40%
Pricing
40%
Measure of Dispersion
20%
Elasticity
20%
Computer Science
Asymptotics
40%
Option Pricing
40%
Practical Implication
20%
Partial Differential Equation
20%
Simulation Mode
20%
Analytics Solution
20%
Asymptotic Expansion
20%
Application
20%
Representation
20%