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Empirical performance of the constant elasticity variance option pricing model

Chen, Ren-Raw; Lee, Cheng F.; Lee, Han-hsing - In: Review of Pacific Basin financial markets and policies 12 (2009) 2, pp. 177-217

Persistent link: https://www.econbiz.de/10003871577

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

Lee, Cheng F.; Wu, Ta-peng; Chen, Ren-Raw - In: Review of Pacific Basin financial markets and policies 7 (2004) 2, pp. 173-190

Persistent link: https://www.econbiz.de/10002131787

Capital budgeting in continuous time, complete market economy

Chen, Ren-Raw; Lee, Cheng F. - In: Advances in quantitative analysis of finance and … 10 (2002), pp. 139-155

Persistent link: https://www.econbiz.de/10001753325

Empirical Performance of the Constant Elasticity Variance Option Pricing Model

Chen, Ren-Raw - 2010

In this essay, we empirically test the Constant-Elasticity-of-Variance (CEV) option pricing model by Cox (1975, 1996 [note: A revised version of the paper was published by the Journal of Portfolio Management (1996).]) and Cox and Ross (1976), and compare the performances of the CEV and...

Persistent link: https://www.econbiz.de/10013150618

Empirical Performance of the Constant Elasticity Variance Option Pricing Model

Chen, Ren-Raw; Lee, Cheng-Few; Lee, Han-Hsing - In: Review of Pacific Basin Financial Markets and Policies … 12 (2009) 02, pp. 177-217

In this essay, we empirically test the Constant–Elasticity-of-Variance (CEV) option pricing model by Cox (1975, 1996) and Cox and Ross (1976), and compare the performances of the CEV and alternative option pricing models, mainly the stochastic volatility model, in terms of European option...

Persistent link: https://www.econbiz.de/10004964024