Pricing volatility derivatives under the modified constant elasticity of variance model (Q1785394)
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scientific article; zbMATH DE number 6945382
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| English | Pricing volatility derivatives under the modified constant elasticity of variance model |
scientific article; zbMATH DE number 6945382 |
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Pricing volatility derivatives under the modified constant elasticity of variance model (English)
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28 September 2018
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CEV model
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volatility derivatives
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benchmark approach
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0.8377703428268433
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0.8197706341743469
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0.7992655038833618
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0.798348605632782
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0.7957808971405029
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