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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| Outros Autores: | , |
| Formato: | article |
| Idioma: | por |
| Publicado em: |
2012
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10174/4635 |
| País: | Portugal |
| Oai: | oai:dspace.uevora.pt:10174/4635 |