Empirical Performance of the Constant Elasticity Variance Option Pricing Model

DOI10.1142/9789811202391_0051zbMath1452.91305OpenAlexW3085538765MaRDI QIDQ5139466

Ren-Raw Chen, Cheng-Few Lee, Han-Hsing Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0051

zbMATH Keywords

numerical experimentoption pricing modelempirical performanceconstant-elasticity-of-variance (CEV) processfinite difference method of the SV modelstochastic volatility option pricing model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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