Valuation of Standard Options under the Constant Elasticity of Variance Model
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- Emanuel, David C. & MacBeth, James D., 1982. "Further Results on the Constant Elasticity of Variance Call Option Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(4), pages 533-554, November.
- Beckers, Stan, 1980. "The Constant Elasticity of Variance Model and Its Implications for Option Pricing," Journal of Finance, American Finance Association, vol. 35(3), pages 661-673, June.
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
- Schroder, Mark Douglas, 1989. " Computing the Constant Elasticity of Variance Option Pricing Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 211-219, March.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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Cited by:
- Axel A. Araneda & Marcelo J. Villena, 2018. "Computing the CEV option pricing formula using the semiclassical approximation of path integral," Papers 1803.10376, arXiv.org.
- Hi Jun Choe & Jeong Ho Chu & So Jeong Shin, 2014. "Recombining binomial tree for constant elasticity of variance process," Papers 1410.5955, arXiv.org.
- U Hou Lok & Yuh-Dauh Lyuu, 2022. "A Valid and Efficient Trinomial Tree for General Local-Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 817-832, October.
- U Hou Lok & Yuh‐Dauh Lyuu, 2020. "Efficient trinomial trees for local‐volatility models in pricing double‐barrier options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 556-574, April.
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More about this item
Keywords
binomial model; constant elasticity of variance model; option pricingtakeovers;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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