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Title: Absolute diffusion process: sensitivity measures
Authors: Larguinho, Manuela
Dias, José Carlos
Braumann, Carlos A.
Keywords: Absolute diffusion process
sensitivity measures
European options
Issue Date: 2013
Publisher: Springer - Verlag
Citation: Larguinho, 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. 249-257
Abstract: The 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.
Type: bookPart
Appears in Collections:MAT - Publicações - Capítulos de Livros
CIMA - Publicações - Capítulos de Livros

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