On the computation of option prices and Greeks under the CEV model

DOI10.1080/14697688.2013.765958zbMath1281.91188MaRDI QIDQ5397428

José Carlos Dias, Carlos A. dos Santos Braumann, Manuela Larguinho

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10174/10496

zbMATH Keywords

option pricing; statistical methods; computational finance; derivatives hedging

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

91G20: Derivative securities (option pricing, hedging, etc.)

Uses Software

• AS 231