"Pricing and Hedging Path-Dependent Options Under the CEV Process."

Dmitry Davydov, Vadim Linetsky (2001)

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DOI: 10.1287/MNSC.47.7.949.9804

access: closed

type: Journal Article

metadata version: 2020-06-30

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Dmitry Davydov, Vadim Linetsky:
Pricing and Hedging Path-Dependent Options Under the CEV Process. Manag. Sci. 47(7): 949-965 (2001)

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