Asymptotics for Greeks under the constant elasticity of variance model
Pricing of Securities
2017-07-17 v2
Abstract
This paper is concerned with the asymptotics for Greeks of European-style options and the risk-neutral density function calculated under the constant elasticity of variance model. Formulae obtained help financial engineers to construct a perfect hedge with known behaviour and to price any options on financial assets.
Keywords
Cite
@article{arxiv.1707.04149,
title = {Asymptotics for Greeks under the constant elasticity of variance model},
author = {Oleg L. Kritski and Vladimir F. Zalmezh},
journal= {arXiv preprint arXiv:1707.04149},
year = {2017}
}
Comments
14 pages, 20 References