The <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" id="mml1" display="inline" overflow="scroll" altimg="si1.gif"><mml:mi>C</mml:mi><mml:mi>E</mml:mi><mml:mi>V</mml:mi></mml:math> model and its application to financial markets with volatility uncertainty

Yuan, Weipeng; Lai, Shaoyong

doi:10.1016/j.cam.2018.05.015

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A No Arbitrage Interval In the European Contingent Claim1

Introduction1

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2019

2024

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Cited by 10 publications

(2 citation statements)

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“…Let us begin with the identity v up = E G (B T V T ). As seen in the proof of [10], for any X 0 ∈U, it has…”

Section: A No Arbitrage Interval In the European Contingent Claimmentioning

confidence: 91%

The investigation of the mean reversion model containing the G-Brownian motion

Yuan¹,

Yuan²,

Li³

2019

ams

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Liquidity financial markets, whose risks are caused by uncertain volatilities, are investigated. We suppose that the price process of risky asset satisfies a mean reversion model which contains a G-Brownian motion instead of the classical Brownian motion. Under the assumption of no arbitrage, employing the concept of arbitrage and the properties of G-expectation, an interval of no-arbitrage price for the general European contingent claims is deduced.

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“…Let us begin with the identity v up = E G (B T V T ). As seen in the proof of [10], for any X 0 ∈U, it has…”

Section: A No Arbitrage Interval In the European Contingent Claimmentioning

confidence: 91%

The investigation of the mean reversion model containing the G-Brownian motion

Yuan¹,

Yuan²,

Li³

2019

ams

Self Cite

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“…See Refs. [45][46][47] for recent and successfully applications of the CEV model in different contexts.…”

Section: Introductionmentioning

confidence: 99%

The fractional and mixed-fractional CEV model

Araneda

2020

Journal of Computational and Applied Mathematics

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The continuous observation of the financial markets has identified some 'stylized facts' which challenge the conventional assumptions, promoting the born of new approaches. On the one hand, the long-range dependence has been faced replacing the traditional Gauss-Wiener process (Brownian motion), characterized by stationary independent increments, by a fractional version. On the other hand, the CEV model addresses the Leverage effect and smile-skew phenomena, efficiently. In this paper, these two insights are merging and both the fractional and mixed-fractional extensions for the CEV model, are developed. Using the fractional versions of both the Itô's calculus and the Fokker-Planck equation, the transition probability density function of the asset price is obtained as the solution of a non-stationary Feller process with time-varying coefficients, getting an analytical valuation formula for a European Call option. Besides, the Greeks are computed and compared with the standard case.

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