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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10174/10541
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| Title: | Absolute diffusion process: sensitivity measures |
| Authors: | Larguinho, Manuela
Dias, José Carlos
Braumann, Carlos A. |
| Keywords: | Absolute diffusion process
sensitivity measures
European options |
| Issue Date: | 2013 |
| Publisher: | Springer - Verlag |
| Citation: | Larguinho, M., Dias, J.C. and Braumann, C.A. (2013). Absolute Diffusion Process: Sensitivity Measures. In Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications, da Silva, J.L.; Caeiro, F.; Natário, I.; Braumann, C.A.; Esquível, M.L.; Mexia,J. (Eds.), Springer, p. 249-257 |
| Abstract: | The constant elasticity of variance (CEV) model of Cox (Notes on Option Pricing I: Constant Elasticity of Variance Diffusions, Working paper, Stanford University (1975)) captures the implied volatility smile that is similar to volatility curves observed in practice. The diffusion process has been used for pricing several financial option contracts. In this paper we present the analytical expressions of sensitivity measures for the absolute diffusion process, commonly known as Greeks, and we analyse numerically the behavior of the measures for European options under the CEV model. |
| URI: | http://hdl.handle.net/10174/10541 |
| Type: | bookPart |
| Appears in Collections: | MAT - Publicações - Capítulos de Livros
CIMA - Publicações - Capítulos de Livros
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