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

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
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1975Fact and Fantasy in the Use of Options1,021 cited
1979An Empirical Examination of the Black-Scholes Call Option Pricing Model446 cited

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199520 Testing option pricing models269 cited
1992Stock Price Dynamics and Firm Size: An Empirical Investigation246 cited
2006Options and Bubbles206 cited
1983Stochastic Processes for Interest Rates and Equilibrium Bond Prices179 cited
2002Pricing Interest Rate Derivatives: A General Approach152 cited
2006Fast strong approximation Monte Carlo schemes for stochastic volatility models145 cited
1990Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives133 cited
2006The constant elasticity of variance (CEV) model and the Legendre transform–dual solution for annuity contracts127 cited
2009Optimal portfolios for DC pension plans under a CEV model119 cited
1995Which Model for Term-Structure of Interest Rates Should One Use?117 cited
1991Underwriter warrants, underwriter compensation, and the costs of going public

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2012Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model115 cited

2006Correlations and bounds for stochastic volatility models106 cited

2004Lookback options and diffusion hitting times: A spectral expansion approach105 cited

2017Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions99 cited

1987Time-Dependent Variance and the Pricing of Bond Options91 cited