Asymptotics for Greeks under the constant elasticity of variance model

Oleg L. Kritski and Vladimir F. Zalmezh

Papers from arXiv.org

Abstract: This paper is concerned with the asymptotics for Greeks of European-style options and the risk-neutral density function calculated under the constant elasticity of variance model. Formulae obtained help financial engineers to construct a perfect hedge with known behaviour and to price any options on financial assets.

Date: 2017-06, Revised 2017-07
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1707.04149

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