Empirical performance of the constant elasticity variance option pricing model
Ren-Raw Chen, Cheng-Few Lee, and Han-Hsing Lee
| Year of publication: |
2024
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|---|---|
| Authors: | Chen, Ren-Raw ; Lee, Cheng F. ; Lee, Han-Hsing |
| Published in: |
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 4. - New Jersey : World Scientific, ISBN 978-981-12-6325-5. - 2024, p. 2751-2793
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| Subject: | Constant-Elasticity-of-Variance (CEV) process | Option pricing model | Empirical performance | Numerical experiment | Stochastic volatility option pricing model | Finite difference method of the SV model | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | CAPM |
Available at ZBW
Part of: Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 4
- Location: Kiel
- Call Number: B 434411
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Status: -
Persistent link: https://www.econbiz.de/10015049981