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Publication Detailed Description
Journal Title
Quantitative Finance
Year (definitive publication)
2013
Language
English
Country
United Kingdom
More Information
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Abstract
Pricing options and evaluating Greeks under the constant elasticity of variance (CEV) model requires the computation of the non-central chi-square distribution function. In this article, we compare the performance, in terms of accuracy and computational time, of alternative methods for computing such probability distributions against an externally tested benchmark. In addition, we present closed-form solutions for computing Greek measures under the unrestricted CEV option pricing model, thus being able to accommodate direct leverage effects as well as inverse leverage effects that are frequently observed in options markets.
Acknowledgements
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Keywords
Computational finance; Derivatives hedging; Option pricing; Statistical methods
Fields of Science and Technology Classification
- Mathematics - Natural Sciences
- Economics and Business - Social Sciences
- Sociology - Social Sciences
Contributions to the Sustainable Development Goals of the United Nations
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