Search Results - subject:"constant elasticity of variance"

Chen, Ren-Raw; Lee, Cheng-Few; Lee, Han-Hsing - In: Review of Pacific Basin Financial Markets and Policies … 12 (2009) 02, pp. 177-217

In this essay, we empirically test the Constant–Elasticity-of-Variance (CEV) option pricing model by Cox (1975, 1996 …

Persistent link: https://www.econbiz.de/10004964024

Svoboda-Greenwood, Simona - In: Applied Mathematical Finance 16 (2009) 3, pp. 269-286

The CEV (constant elasticity of variance) and displaced diffusion processes have been posited as suitable alternatives …

Persistent link: https://www.econbiz.de/10004966850

Hsu, Y.L.; Lin, T.I.; Lee, C.F. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2008) 1, pp. 60-71

In this paper we review the renowned constant elasticity of variance (CEV) option pricing model and give the detailed …

Persistent link: https://www.econbiz.de/10010749821

Lu, Richard; Hsu, Yi-Hwa - In: International Journal of Business and Economics 4 (2005) 2, pp. 157-165

A binomial model is developed to value options when the underlying process follows the constant elasticity of variance …

Persistent link: https://www.econbiz.de/10010598991