Further Results on the Constant Elasticity of Variance Call Option Pricing Model
作者： David C. Emanuel , James D. MacBeth
DOI: 10.2307/2330906
关键词:
摘要: The Black-Scholes [4] call option model is a member of the class constant elasticity variance models proposed by Cox [6]. While assumes that volatility or instantaneous return through time, other members allow to change with stock price. This property interest because empirical evidence suggests returns common are heteroscedastic and also volatilities, implied from market prices options, not constant.
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