The constant elasticity of variance models: New evidence from S&P 500 index options

Review of Pacific Basin Financial Markets and Policies

Volumn 7, Issue 2, 2004, Pages 173-190

  Lee, C F ^a   Wu, Ta Peng ^b   Chen, Ren Raw ^a  

^a RUTGERS BUSINESS SCHOOL   (United States)

^b EnfoTech Inc   (United States)

Author keywords

Black Scholes model; Constant elasticity of variance option model; Non central chi square probability functions; S P 500 index

Indexed keywords

MODELING; STOCK MARKET;

EID: 4744337580     PISSN: 02190915     EISSN: None     Source Type: Journal    
DOI: 10.1142/S021909150400010X     Document Type: Article

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