Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation

被引：29

作者：

Hsu, Y. L. ^{[1
]}

Lin, T. I. ^{[1
]}

Lee, C. F. ^{[2
,3
]}

机构：

[1] Natl Chung Hsing Univ, Dept Appl Math, Taichung 40227, Taiwan

[2] Natl Chaio Tung Univ, Grad Inst Finance, Hsinchu, Taiwan

[3] Rutgers State Univ, Dept Finance, New Brunswick, NJ USA

来源：

MATHEMATICS AND COMPUTERS IN SIMULATION | 2008年 / 79卷 / 01期

关键词：

constant elasticity of variance model; noncentral Chi-square distribution; option pricing;

D O I：

10.1016/j.matcom.2007.09.012

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

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.

引用

页码：60 / 71

页数：12

共 11 条

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