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 derivations. There are two purposes of this article. First, we show the details of the formulae needed in deriving the option pricing and bridge the gaps in deriving the...
