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The Constant Elasticity of Variance Model and Its Implications For Option Pricing · Study

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ArticleThe Constant Elasticity of Variance Model and Its Implications For Option Pricing

Stan Beckers1980

Article1980

The Constant Elasticity of Variance Model and Its Implications For Option Pricing

280 citations·0/0 files stored·The Journal of Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1976The valuation of options for alternative stochastic processes 1975Fact and Fantasy in the Use of Options 1979An Empirical Examination of the Black-Scholes Call Option Pricing Model

Cited by

199520 Testing option pricing models 1992Stock Price Dynamics and Firm Size: An Empirical Investigation 2006Options and Bubbles 1983Stochastic Processes for Interest Rates and Equilibrium Bond Prices 2002Pricing Interest Rate Derivatives: A General Approach 2006Fast strong approximation Monte Carlo schemes for stochastic volatility models 1990Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives 2006The constant elasticity of variance (CEV) model and the Legendre transform–dual solution for annuity contracts

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1982Option Prices as Predictors of Equilibrium Stock Pricesarticle · 4 shared references 1980Tests of the Black-Scholes and Cox Call Option Valuation Modelsarticle · 4 shared references 2001Implied volatility surfaces: uncovering regularities for options on financial futuresarticle · 4 shared references 1982Option Pricing Model Estimates: Some Empirical Resultsarticle · 4 shared references 2001VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEYarticle · 4 shared references 1992Option Pricing When Jump Risk Is Systematic1article · 4 shared references

Details

Year1980

Typearticle

Published1980-06-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations280

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1111/j.1540-6261.1980.tb03490.x

openalex_workW2126629795

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