Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Cruz, A. & Dias, J. C. (2017). The binomial CEV model and the Greeks. Journal of Futures Markets. 37 (1), 90-104
Exportar Referência (IEEE) 
A. C. Cruz and J. C. Dias,  "The binomial CEV model and the Greeks", in Journal of Futures Markets, vol. 37, no. 1, pp. 90-104, 2017
Exportar BibTeX 
@article{cruz2017_1714065658387,
	author = "Cruz, A. and Dias, J. C.",
	title = "The binomial CEV model and the Greeks",
	journal = "Journal of Futures Markets",
	year = "2017",
	volume = "37",
	number = "1",
	doi = "10.1002/fut.21791",
	pages = "90-104",
	url = "http://onlinelibrary.wiley.com/doi/10.1002/fut.21791/"
}
Exportar RIS 
TY  - JOUR
TI  - The binomial CEV model and the Greeks
T2  - Journal of Futures Markets
VL  - 37
IS  - 1
AU  - Cruz, A.
AU  - Dias, J. C.
PY  - 2017
SP  - 90-104
SN  - 0270-7314
DO  - 10.1002/fut.21791
UR  - http://onlinelibrary.wiley.com/doi/10.1002/fut.21791/
AB  - This article compares alternative binomial approximation schemes for computing the option hedge ratios studied by Chung and Shackleton (2002), Chung, Hung, Lee, and Shih (2011), and Pelsser and Vorst (1994) under the lognormal assumption, but now considering the constant elasticity of variance (CEV) process proposed by Cox (1975) and using the continuous-time analytical Greeks recently offered by Larguinho, Dias, and Braumann (2013) as the benchmarks. Among all the binomial models considered in this study, we conclude that an extended tree binomial CEV model with the smooth and monotonic convergence property is the most efficient method for computing Greeks under the CEV diffusion process because one can apply the two-point extrapolation formula suggested by Chung et al. (2011)
ER  -