Absolute diffusion process: sensitivity measures

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dc.contributor.authorLarguinho, Manuela
dc.contributor.authorDias, José Carlos
dc.contributor.authorBraumann, Carlos A.
dc.date.accessioned2014-02-05T09:45:17Z
dc.date.available2014-02-05T09:45:17Z
dc.date.issued2013
dc.description.abstractThe 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.por
dc.identifier.authoremailmlarguinho@iscac.pt
dc.identifier.authoremailjose.carlos.dias@iscte.pt
dc.identifier.authoremailbraumann@uevora.pt
dc.identifier.citationLarguinho, 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. 249-257por
dc.identifier.doi10.1007/978-3-642-34904-1_26
dc.identifier.scientificarea336por
dc.identifier.sharewithMAT - Publicações - Capítulos de Livrospor
dc.identifier.urihttp://hdl.handle.net/10174/10541
dc.language.isoporpor
dc.publisherSpringer - Verlagpor
dc.rightsopenAccesspor
dc.subjectAbsolute diffusion processpor
dc.subjectsensitivity measurespor
dc.subjectEuropean optionspor
dc.titleAbsolute diffusion process: sensitivity measurespor
dc.typebookPartpor

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