A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE (Q508291)
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scientific article; zbMATH DE number 6683381
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| English | A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE |
scientific article; zbMATH DE number 6683381 |
Statements
A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE (English)
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10 February 2017
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CEV model
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American option
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option pricing
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Black-Scholes
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calibration
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0.9257437
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0.9066488
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0.8938746
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0.89199334
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0.8891046
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0.8791966
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0.8768864
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0.8748556
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0.8748145
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