Pricing volatility-equity options under the modified constant elasticity of variance model

Xingchun Wang ()

Finance Research Letters, 2021, vol. 38, issue C

Abstract: This paper studies volatility-equity options such as the target volatility options and the double digital call under the modified constant elasticity of variance model. Adopting the benchmark approach, we derive the analytical pricing formulae of these products and finally perform numerical examples to illustrate option values.

Keywords: Target volatility options; Double digital call; Realized volatility; Modified constant elasticity of variance (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310414

DOI: 10.1016/j.frl.2020.101493

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