The constant elasticity of variance model: calibration, test and evidence from the Italian equity market-Reference-Cited by-同舟云学术

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The constant elasticity of variance model: calibration, test and evidence from the Italian equity market

Published:2011-06-27 Issue:20 Volume:21 Page:1479-1487
ISSN:0960-3107
Container-title:Applied Financial Economics
language:en
Short-container-title:Applied Financial Economics

Author:

Ballestra Luca Vincenzo¹,Pacelli Graziella²

Affiliation:

1. a Dipartimento di Strategie Aziendali e Metodologie Quantitative , Seconda Università di Napoli , Corso Gran Priorato di Malta, 81043 Capua, Italy

2. b Dipartimento di Scienze Sociali ‘D. Serrani’ , Università Politecnica delle Marche , Piazza Martelli 8, 60121 Ancona, Italy

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/09603107.2011.579058

Reference44 articles.

1. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

2. Real option value and random jumps: application of a simulation model

3. Théorie de la spéculation

4. Stochastic Volatility Option Pricing

5. Volatility and stock prices: implications from a production model of asset pricing

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2. Algebraic aspects of evolution partial differential equation arising in the study of constant elasticity of variance model from financial mathematics;Open Physics;2018-03-08

3. A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE;Chaos, Solitons & Fractals;2016-07

4. Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model;Mathematical Methods in the Applied Sciences;2016-06-30

5. Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley;Finance Research Letters;2015-08

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