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Further Results on the Constant Elasticity of Variance Call Option Pricing Model

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Author Info
Emanuel, David C.
MacBeth, James D.
Abstract

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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 17 (1982)
Issue (Month): 04 (November)
Pages: 533-554
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:17:y:1982:i:04:p:533-554_01

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  1. Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2005. "Assessing credit with equity : a CEV model with jump to default," Discussion Paper 27, Tilburg University, Center for Economic Research. [Downloadable!]
  2. Li, Minqiang, 2008. "A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation," MPRA Paper 11185, University Library of Munich, Germany. [Downloadable!]
  3. Brian A. Eales & Radu Tunaru, 2004. "Financial Engineering with Reverse Cliquet Options," Money Macro and Finance (MMF) Research Group Conference 2004 81, Money Macro and Finance Research Group. [Downloadable!]
  4. Campi, Luciano & Sbuelz, Alessandro, 2005. "Close-form pricing of benchmark equity default swaps under the CEV assumption," Discussion Paper 28, Tilburg University, Center for Economic Research. [Downloadable!]
  5. Luciano Campi & Simon Polbennikov & Sbuelz, 2005. "Assessing Credit with Equity: A CEV Model with Jump to Default," Working Papers 24, Università di Verona, Dipartimento di Scienze economiche. [Downloadable!]
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This page was last updated on 2009-12-14.

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