Empirical performance of the constant elasticity variance option pricing model

Keyphrases

• Option Pricing Model 100%
• Empirical Performance 100%
• Variance Option 100%
• Constant Elasticity of Variance 100%
• Stochastic Volatility Model 33%
• Implementation Cost 22%
• Option Pricing 11%
• Numerical Experiments 11%
• Convergence Rate 11%
• European Options 11%
• Pricing Performance 11%
• Numerical Procedure 11%
• Computational Speed 11%
• Path-dependent Options 11%
• Accuracy-based 11%
• American Option Pricing 11%
• Black-Scholes Equation 11%
• Higher-dimensional Lattice 11%
• European Option Pricing 11%
• Lattice Model 11%
• Credit Risk Models 11%
• Implied Volatility 11%

Economics, Econometrics and Finance

• Pricing 100%
• Volatility 44%
• Option Trading 22%