Article2001

Estimation in the Constant Elasticity of Variance Model

K. C. Yuen · Hailiang Yang · Kut-leung Chu

35 citations0/0 files storedBritish Actuarial Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

ABSTRACT The constant elasticity of variance (CEV) diffusion process can be used to model heteroscedasticity in returns of common stocks. In this diffusion process, the volatility is a function of the stock price and involves two parameters. Similar to the Black-Scholes analysis, the equilibrium price of a call option can be obtained for the CEV model. The purpose of this paper is to propose a new estimation procedure for the CEV model. A merit of our method is that no constraints are imposed on the elasticity parameter of the model. In addition, frequent adjustments of the parameter estimates are not required. Simulation studies indicate that the proposed method is suitable for practical use. As an illustration, real examples on the Hong Kong stock option market are carried out. Various aspects of the method are also discussed.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 35 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1976The valuation of options for alternative stochastic processes 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 1979An Empirical Examination of the Black-Scholes Call Option Pricing Model 2001Estimation of affine asset pricing models using the empirical characteristic function 1982Further Results on the Constant Elasticity of Variance Call Option Pricing Model 1980Tests of the Black-Scholes and Cox Call Option Valuation Models

Cited by

2019Family optimal investment strategy for a random household expenditure under the CEV model

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.