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National Chung Hsing University Institutional Repository - NCHUIR > 理學院 > 統計學研究所 > 依資料類型分類 > 期刊論文 >  Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation

Please use this identifier to cite or link to this item: http://nchuir.lib.nchu.edu.tw/handle/309270000/133605

標題: Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
作者: Hsu, Y.L.;Lin, T.I.;Lee, C.F.
關鍵字: constant elasticity of variance model;noncentral Chi-square;distribution;option pricing;stock returns;volatility
日期: 2008
Issue Date: 2012-12-14 10:06:13 (UTC+8)
關連: Mathematics and Computers in Simulation, Volume 79, Issue 1, Page(s) 60-71.
摘要: 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 necessary formulae for the model. Second, we use a result by Feller to obtain the transition probability density function of the stock price at time T given its price at time t with t < T. In addition, some computational considerations are given for the facilitation of computing the CEV option pricing formula. (C) 2007 IMACS. Published by Elsevier B.V. All rights reserved.
Relation: Mathematics and Computers in Simulation
Appears in Collections:[依資料類型分類] 期刊論文
[依教師分類] 林宗儀
[依教師分類] 許英麟
[依教師分類] 林宗儀
[依教師分類] 許英麟

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