FURTHER RESULTS ON THE CONSTANT ELASTICITY OF VARIANCE CALL OPTION PRICING MODEL

被引：145

作者：

EMANUEL, DC

MACBETH, JD

机构：

来源：

关键词：

D O I：

10.2307/2330906

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：533 / 554

页数：22

共 16 条

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COX J, 1976, J FINANCIAL EC JAN

[7]

COX JC, 1975, UNPUB NOTES OPTION P

[8]

Feller W, 1951, ANN MATH

[9]

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[10] TESTS OF THE BLACK-SCHOLES AND COX CALL OPTION VALUATION MODELS [J].

MACBETH, JD ;

MERVILLE, LJ .