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The Constant Elasticity of Variance Model and Its Implications For Option Pricing

โœ Scribed by Stan Beckers

Book ID
120155270
Publisher
John Wiley and Sons
Year
1980
Tongue
English
Weight
311 KB
Volume
35
Category
Article
ISSN
0022-1082

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๐Ÿ“œ SIMILAR VOLUMES

Pricing real options under the constant
Pricing real options under the constant elasticity of variance diffusion
โœ Josรฉ Carlos Dias; Joรฃo Pedro Vidal Nunes ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 149 KB ๐Ÿ‘ 1 views

## Abstract Much of the work on real options assumes that the underlying state variable follows a geometric Brownian motion with constant volatility. This paper uses a more general assumption for the state variable process that better captures the empirical regularities found in commodity markets.