Skip navigation
User training | Reference and search service

Library catalog

Content aggregators
Please use this identifier to cite or link to this item:

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
ISSN: 1469-7688
Publisher version: The definitive version is available at:
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica

Files in This Item:
File Description SizeFormat 
publisher_version_Quantitative_Finance_2013.pdf285.43 kBAdobe PDFView/Open    Request a copy

FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Currículo DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.