Computing the Constant Elasticity of Variance Option Pricing Formula
Computing the Constant Elasticity of Variance Option Pricing Formula
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DOI：
10.1111/j.1540-6261.1989.tb02414.x
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发表时间：
1989-03
影响因子：
8
通讯作者：
Mark Schroder
中科院分区：
文献类型：
--
作者：
Mark Schroder
本文用非中心卡方分布来表示常弹性方差期权定价公式。这允许应用众所周知的近似公式和推导一整类闭形式解。此外，还提出了一种简单有效的计算该分布的算法。美国金融协会1989年版权所有。
This paper expresses the constant elasticity of variance option pricing formula in terms of the noncentral chi-square distribution. This allows the application of well-known approximation formulas and the derivation of a whole class of closed-form solutions. In addition, a simple and efficient algorithm for computing this distribution is presented. Copyright 1989 by American Finance Association.