In this essay, we empirically test the Constant-Elasticity-of-Variance (CEV) option pricing model by Cox (1975, 1996 [note: A revised version of the paper was published by the Journal of Portfolio Management (1996).]) and Cox and Ross (1976), and compare the performances of the CEV and...

In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk-return relationship in the U.S. stock returns. The results suggest a statistically significant relationship between the risk and the return if the risk measure includes components...