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- W2392673852 abstract "The constant elasticity of variance(CEV) model can prevent the empirical bias exhibited by the Black-Scholes model such as the volatility smile.In this article,CEV model was used to describe the underlying asset price dynamics.The analytical pricing formula for the trinary option was derived in terms of complementary noncentral chi-square distribution function.A simply and efficient algorithm for computing this complementary distribution function was presented.Approximation to this complementary distribution function was provided to estimate accurately the result of the pricing formula derived above when the computation of the exact solution is problematic.This study will pave a new way to evaluate the class of the exotic option in the time dependent constant elasticity of variance." @default.
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- W2392673852 date "2011-03-25" @default.
- W2392673852 modified "2023-09-23" @default.
- W2392673852 title "Pricing the constant elasticity of variance trinary option" @default.
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