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Distribution of occupation times for constant elasticity of variance diffusion and the pricing of α -quantile options

✍ Scribed by Sun Leung, Kwai; Kwok, Yue Kuen

Book ID
121448022
Publisher
Taylor and Francis Group
Year
2007
Tongue
English
Weight
180 KB
Volume
7
Category
Article
ISSN
1469-7688

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📜 SIMILAR VOLUMES

Pricing real options under the constant
Pricing real options under the constant elasticity of variance diffusion
✍ José Carlos Dias; João Pedro Vidal Nunes 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 149 KB 👁 1 views

## Abstract Much of the work on real options assumes that the underlying state variable follows a geometric Brownian motion with constant volatility. This paper uses a more general assumption for the state variable process that better captures the empirical regularities found in commodity markets.