Title:

A Note on Options and Bubbles under the CEV Model: Implications for Pricing and Hedging

Authors:

José Carlos Dias (ISCTE - Instituto Universitário de Lisboa)
João Pedro Vidal Nunes (ISCTE - Instituto Universitário de Lisboa)
Aricson Cruz (ISCTE - Instituto Universitário de Lisboa)

Journal:

Review Of Derivatives Research

Year:

2020

Volume:

23

Number:

3

Pages:

249-272

JEL code:

G13 - Contingent Pricing; Futures Pricing

DOI:

10.1007/s11147-019-09164-x