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

Detalhes bibliográficos
Autor(a) principal: Larguinho, Manuela
Data de Publicação: 2013
Outros Autores: Dias, José Carlos, Braumann, Carlos 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/10174/10496
https://doi.org/10.1080/14697688.2013.765958
Resumo: 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.
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spelling On the computation of option prices and Greeks under the CEV modelCEV modelOption pricingDerivatives hedgingComputational financePricing 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.Taylor & Francis2014-02-03T17:40:25Z2014-02-032013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/10496http://hdl.handle.net/10174/10496https://doi.org/10.1080/14697688.2013.765958porLarguinho, M, Dias, J. C., Braumann, C.A. (2013). On the computation of option prices and Greeks under the CEV model. Quantitative Finance 13 (6): 907-917MAT - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científicamlarguinho@iscac.ptjose.carlos.dias@iscte.ptbraumann@uevora.pt336Larguinho, ManuelaDias, José CarlosBraumann, Carlos 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:RCAAP2024-01-03T18:53:28Zoai:dspace.uevora.pt:10174/10496Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:04:23.550706Repositório 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 On the computation of option prices and Greeks under the CEV model
title On the computation of option prices and Greeks under the CEV model
spellingShingle On the computation of option prices and Greeks under the CEV model
Larguinho, Manuela
CEV model
Option pricing
Derivatives hedging
Computational finance
title_short On the computation of option prices and Greeks under the CEV model
title_full On the computation of option prices and Greeks under the CEV model
title_fullStr On the computation of option prices and Greeks under the CEV model
title_full_unstemmed On the computation of option prices and Greeks under the CEV model
title_sort On the computation of option prices and Greeks under the CEV model
author Larguinho, Manuela
author_facet Larguinho, Manuela
Dias, José Carlos
Braumann, Carlos A.
author_role author
author2 Dias, José Carlos
Braumann, Carlos A.
author2_role author
author
dc.contributor.author.fl_str_mv Larguinho, Manuela
Dias, José Carlos
Braumann, Carlos A.
dc.subject.por.fl_str_mv CEV model
Option pricing
Derivatives hedging
Computational finance
topic CEV model
Option pricing
Derivatives hedging
Computational finance
description 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.
publishDate 2013
dc.date.none.fl_str_mv 2013-01-01T00:00:00Z
2014-02-03T17:40:25Z
2014-02-03
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/10174/10496
http://hdl.handle.net/10174/10496
https://doi.org/10.1080/14697688.2013.765958
url http://hdl.handle.net/10174/10496
https://doi.org/10.1080/14697688.2013.765958
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv Larguinho, M, Dias, J. C., Braumann, C.A. (2013). On the computation of option prices and Greeks under the CEV model. Quantitative Finance 13 (6): 907-917
MAT - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica
mlarguinho@iscac.pt
jose.carlos.dias@iscte.pt
braumann@uevora.pt
336
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
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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