TY - JOUR
T1 - The constant elasticity of variance models
T2 - New evidence from S&P 500 index options
AU - Lee, C. F.
AU - Wu, Ta Peng
AU - Chen, Ren Raw
PY - 2004/6
Y1 - 2004/6
N2 - The seminal work by Cox (1975, 1996), MacBeth and Merville (1979, 1980) and Emanuel and Macbeth (1982) show that, both theoretically and empirically, the constant elasticity of variance option model (CEV) is superior to the Black-Scholes model in explaining market prices. In this paper, we extend the MacBeth and Merville (1979, 1980) research by using a European contract (S&P 500 index options). We find supportive evidence to the MacBeth and Merville results although our sample is not subject to American premium biases. Furthermore, we reduce the approximation errors by using the non-central chi-square probability functions proposed by Shroder (1989).
AB - The seminal work by Cox (1975, 1996), MacBeth and Merville (1979, 1980) and Emanuel and Macbeth (1982) show that, both theoretically and empirically, the constant elasticity of variance option model (CEV) is superior to the Black-Scholes model in explaining market prices. In this paper, we extend the MacBeth and Merville (1979, 1980) research by using a European contract (S&P 500 index options). We find supportive evidence to the MacBeth and Merville results although our sample is not subject to American premium biases. Furthermore, we reduce the approximation errors by using the non-central chi-square probability functions proposed by Shroder (1989).
KW - Black-Scholes model
KW - Constant elasticity of variance option model
KW - Non-central chi-square probability functions
KW - S&P 500 index
UR - https://www.scopus.com/pages/publications/4744337580
U2 - 10.1142/S021909150400010X
DO - 10.1142/S021909150400010X
M3 - 文章
AN - SCOPUS:4744337580
SN - 0219-0915
VL - 7
SP - 173
EP - 190
JO - Review of Pacific Basin Financial Markets and Policies
JF - Review of Pacific Basin Financial Markets and Policies
IS - 2
ER -