Computing the constant elasticity of variance option pricing formula
Article Abstract:
This paper expresses the constant elasticity of variance option pricing formula in terms of the noncentral chi-square distribution. This allows the application of well-known approximation formulas and the derivation of a whole class of closed-form solutions. In addition, a simple and efficient algorithm for computing this distribution is presented. (Reprinted by permission of the publisher.)
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1989
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Value versus glamour
Article Abstract:
The article examines relationships between equity returns and corporate characteristics such as glamour or value. Sorting procedure-based trading strategies used to determine these relationships are evaluated.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2003
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