Consistent pricing and hedging for a modified constant elasticity of variance model

Heath, DP; Platen, E

Consistent pricing and hedging for a modified constant elasticity of variance model

Heath, DP Platen, E

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Publisher:: IOP Publishing Ltd
Publication Type:: Journal Article
Citation:: Quantitative Finance, 2002, 2 (6), pp. 459 - 467
Issue Date:: 2002-01

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Field	Value	Language
dc.contributor.author	Heath, DP	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2002-01	en_US
dc.identifier.citation	Quantitative Finance, 2002, 2 (6), pp. 459 - 467	en_US
dc.identifier.issn	1469-7688	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3463
dc.publisher	IOP Publishing Ltd	en_US
dc.relation.ispartof	Quantitative Finance	en_US
dc.relation.isbasedon	http://dx.doi.org/10.1088/1469-7688/2/6/305	en_US
dc.rights	This is an author-created, un-copyedited version of an article accepted for publication in Quantitative Finance. IOP Publishing Ltd is not responsible for any errors or omissions in this version of the manuscript or any version derived from it. The definitive publisher-authenticated version is available online at http://dx.doi.org/10.1088/1469-7688/2/6/305.	en_US
dc.subject.classification	Finance	en_US
dc.title	Consistent pricing and hedging for a modified constant elasticity of variance model	en_US
dc.type	Journal Article
utslib.citation.volume	6	en_US
utslib.citation.volume	2	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	14 Economics	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	6	en_US
pubs.volume	2	en_US

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http://hdl.handle.net/10453/3463