On the computation of option prices and Greeks under the CEV Model
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 suc...
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| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2015
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| Subjects: | |
| Online Access: | https://ciencia.iscte-iul.pt/public/pub/id/8699 |
| Country: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/9827 |