Empirical Performance of the Constant Elasticity Variance Option Pricing Model
Year of publication: |
2009
|
---|---|
Authors: | Chen, Ren-Raw ; Lee, Cheng-Few ; Lee, Han-Hsing |
Published in: |
Review of Pacific Basin Financial Markets and Policies (RPBFMP). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6705. - Vol. 12.2009, 02, p. 177-217
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Constant–Elasticity-of-Variance (CEV) process | option pricing model | empirical performance | numerical experiment |
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