Pricing volatility index option in constant elasticity of variance model (Q3307067)
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scientific article; zbMATH DE number 7234285
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| English | Pricing volatility index option in constant elasticity of variance model |
scientific article; zbMATH DE number 7234285 |
Statements
12 August 2020
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option pricing
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willow tree method
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volatility index
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constant elasticity of variance model
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0.7857846021652222
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0.7427980303764343
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0.7424057722091675
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0.7374732494354248
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0.7285536527633667
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