Computing the constant elasticity of variance option pricing formula

Article Abstract:

This paper expresses the constant elasticity of variance option pricing formula in terms of the noncentral chi-square distribution. This allows the application of well-known approximation formulas and the derivation of a whole class of closed-form solutions. In addition, a simple and efficient algorithm for computing this distribution is presented. (Reprinted by permission of the publisher.)

Research, Options (Finance), Pricing, Numerical analysis

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Value versus glamour

Article Abstract:

The article examines relationships between equity returns and corporate characteristics such as glamour or value. Sorting procedure-based trading strategies used to determine these relationships are evaluated.

United States, Comparative analysis, Return on investment, Rate of return, Organizational structure, Equity (Finance)

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