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

• 1 June 1980
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 35  (3) , 661-673
• https://doi.org/10.2307/2327490

Abstract

Keywords

• OPTION PRICING
• CONSTANT ELASTICITY
• VARIANCE MODEL
• IMPLICATIONS

All Related Versions

• Version 1, RePEc (Unconfirmed version)