The CEV Model Revisited
W Cheng, T Zhang - Available at SSRN 2487669, 2014 - papers.ssrn.com
This note introduces a mathematically rigorous short time approximation of the transition
density function of the CEV model. We first apply a change of variable to the CEV operator …
density function of the CEV model. We first apply a change of variable to the CEV operator …
Closed Form Pricing for Commodity Spread Options with High Correlation
W Cheng - Available at SSRN 2533310, 2014 - papers.ssrn.com
Inspired by recent work on the Dyson-Taylor Commutator method, we apply similar but
different techniques to commodity spread options when the correlation (denoted by Ρ) of the …
different techniques to commodity spread options when the correlation (denoted by Ρ) of the …