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Journal article Open Access Scopus Source The journal / series is indexed in Scopus (SCImago list). The article itself has not been verified. 40 Citations Quartil Q1

On the computation of option prices and Greeks under the CEV model

Larguinho, Manuela , Dias, José Carlos , Braumann, Carlos A.
ISLA — Instituto Politécnico de Gestão e Tecnologia
Quantitative Finance, Volume 13, Issue 6, 2013, pp. 907–917
DOI: 10.1080/14697688.2013.765958 Handle: http://hdl.handle.net/10174/10496

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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.

Keywords

#CEV model #Option pricing #Derivatives hedging #Computational finance

Bibliographic Details

Publication Type Journal article
Publication Year 2013
Journal / Conference / Work Quantitative Finance
ISSN 14697688 14697696
Volume / Issue Vol. 13 (6)
Pagination pp. 907–917
Quartile (SCImago) Q1
Scopus Indexing Indexed source (via SCImago)

ISLA Authors & Affiliations

M
Maria Manuela Coelho Larguinho
mlarguinho@iscac.pt ID: 3014-AFB1-2513
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