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

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 pr...

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Bibliographic Details
Main Author: Larguinho, M. (author)
Other Authors: Dias, J.C. (author), Braumann, C.A. (author)
Format: article
Language:por
Published: 2012
Subjects:
CEV model
Option pricing
Non-central chi-square distribution
Online Access:http://hdl.handle.net/10174/4635
Country:Portugal
Oai:oai:dspace.uevora.pt:10174/4635

Internet

http://hdl.handle.net/10174/4635

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