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The Constant Elasticity of Variance Option Pricing Model · Study

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ArticleThe Constant Elasticity of Variance Option Pricing Model

John C. Cox1996

Article1996

The Constant Elasticity of Variance Option Pricing Model

376 citations·0/0 files stored·The Journal of Portfolio Management

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

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1999Transition Densities for Interest Rate and Other Nonlinear Diffusions 2006A jump to default extended CEV model: an application of Bessel processes 2001Do option markets correctly price the probabilities of movement of the underlying asset?2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications 2004Option Pricing: Valuation Models and Applications 2003Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach 2004Variance Risk Premia 2006The constant elasticity of variance (CEV) model and the Legendre transform–dual solution for annuity contracts

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Year1996

Typearticle

Published1996-12-31

VenueThe Journal of Portfolio Management

ISSN-L0095-4918

Languageen

Citations376

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.3905/jpm.1996.015

openalex_workW69337820

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