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http://hdl.handle.net/10071/9827
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Title: On the computation of option prices and Greeks under the CEV Model
Authors: Larguinho, M.
Dias, J. C.
Braumann, C. A.
Keywords: Computational finance
Derivatives hedging
Option pricing
Statistical methods
Issue Date: 2013
Publisher: Routledge/Taylor & Francis
Abstract: Pricing options and evaluating Greeks under the constant elasticity of variance (CEV) model requires the computation of the non-central chi-square distribution function. In this article, we compare the performance, in terms of accuracy and computational time, of alternative methods for computing such probability distributions against an externally tested benchmark. In addition, we present closed-form solutions for computing Greek measures under the unrestricted CEV option pricing model, thus being able to accommodate direct leverage effects as well as inverse leverage effects that are frequently observed in options markets.
Peer reviewed: Sim
URI: https://ciencia.iscte-iul.pt/public/pub/id/8699
http://hdl.handle.net/10071/9827
ISSN: 1469-7688
Publisher version: The definitive version is available at: http://dx.doi.org/10.1080/14697688.2013.765958
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica

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