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Pricing volatility-equity options under the modified constant elasticity of variance model

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  • Wang, Xingchun

Abstract

This paper studies volatility-equity options such as the target volatility options and the double digital call under the modified constant elasticity of variance model. Adopting the benchmark approach, we derive the analytical pricing formulae of these products and finally perform numerical examples to illustrate option values.

Suggested Citation

  • Wang, Xingchun, 2021. "Pricing volatility-equity options under the modified constant elasticity of variance model," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310414
    DOI: 10.1016/j.frl.2020.101493
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    References listed on IDEAS

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    1. Leunglung Chan & Eckhard Platen, 2015. "Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model," Research Paper Series 360, Quantitative Finance Research Centre, University of Technology, Sydney.
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    More about this item

    Keywords

    Target volatility options; Double digital call; Realized volatility; Modified constant elasticity of variance;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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