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) and Cox and Ross (1976), and compare the performances of the CEV and alternative option pricing models, mainly the stochastic volatility model, in terms of European option...
