17 citations · 17 across the 1 of their papers we have counts for
3 papers
q-fin.MF2020
The sub-fractional CEV model
Axel A. Araneda, Nils Bertschinger
The sub-fractional Brownian motion (sfBm) is a stochastic process, characterized by non-stationarity in their increments and long-range dependency, considered as an intermediate st…
q-fin.MF2019★ 17 cited
The fractional and mixed-fractional CEV model
Axel A. Araneda
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 on…
q-fin.CP2018
Computing the CEV option pricing formula using the semiclassical approximation of path integral
Axel A. Araneda, Marcelo J. Villena
The Constant Elasticity of Variance (CEV) model significantly outperforms the Black-Scholes (BS) model in forecasting both prices and options. Furthermore, the CEV model has a mark…