Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model

Detalhes bibliográficos
Autor(a) principal: Larguinho, M.
Data de Publicação: 2011
Outros Autores: Dias, J.C., Braumann, C.A.
Tipo de documento: Artigo
Idioma: por
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/4635
Resumo: Pricing options and evaluating greeks under the constant elasticity of variance (CEV) model require the computation of the noncentral 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 xternally tested benchmark. In addition, we present closed-form solutions for computing greek measures under the CEV option pricing model for both beta < 2 and beta > 2, thus being able to accommodate direct leverage effects as well as inverse leverage effects that are frequently observed in the options markets.
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spelling Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV ModelCEV modelOption pricingNon-central chi-square distributionPricing options and evaluating greeks under the constant elasticity of variance (CEV) model require the computation of the noncentral 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 xternally tested benchmark. In addition, we present closed-form solutions for computing greek measures under the CEV option pricing model for both beta < 2 and beta > 2, thus being able to accommodate direct leverage effects as well as inverse leverage effects that are frequently observed in the options markets.Em: Conference Proceedings of 18th International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management (CD-ROM)2012-01-30T23:28:46Z2012-01-302011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/4635http://hdl.handle.net/10174/4635porCIMAmlarguinho@iscac.ptjdias@iscac.ptbraumann@uevora.pt340Larguinho, M.Dias, J.C.Braumann, C.A.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T18:42:55Zoai:dspace.uevora.pt:10174/4635Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:59:54.311304Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model
title Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model
spellingShingle Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model
Larguinho, M.
CEV model
Option pricing
Non-central chi-square distribution
title_short Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model
title_full Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model
title_fullStr Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model
title_full_unstemmed Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model
title_sort Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for Option Pricing and Hedging under the CEV Model
author Larguinho, M.
author_facet Larguinho, M.
Dias, J.C.
Braumann, C.A.
author_role author
author2 Dias, J.C.
Braumann, C.A.
author2_role author
author
dc.contributor.author.fl_str_mv Larguinho, M.
Dias, J.C.
Braumann, C.A.
dc.subject.por.fl_str_mv CEV model
Option pricing
Non-central chi-square distribution
topic CEV model
Option pricing
Non-central chi-square distribution
description Pricing options and evaluating greeks under the constant elasticity of variance (CEV) model require the computation of the noncentral 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 xternally tested benchmark. In addition, we present closed-form solutions for computing greek measures under the CEV option pricing model for both beta < 2 and beta > 2, thus being able to accommodate direct leverage effects as well as inverse leverage effects that are frequently observed in the options markets.
publishDate 2011
dc.date.none.fl_str_mv 2011-01-01T00:00:00Z
2012-01-30T23:28:46Z
2012-01-30
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/4635
http://hdl.handle.net/10174/4635
url http://hdl.handle.net/10174/4635
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv CIMA
mlarguinho@iscac.pt
jdias@iscac.pt
braumann@uevora.pt
340
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Em: Conference Proceedings of 18th International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management (CD-ROM)
publisher.none.fl_str_mv Em: Conference Proceedings of 18th International Conference on Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management (CD-ROM)
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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