The Constant Elasticity of Variance Model and Its Implications For Option Pricing

Authors

  • STAN BECKERS

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    • Vlaamse Ekonomische Hogeschool and European Institute for Advanced Studies in Management, Brussels. The author gratefully acknowledges the helpful suggestions of Mark Rubinstein, Barr Rosenberg and Larry J. Merville. John Cox kindly provided us with a simplified formula for the square root option price. All remaining errors are of course ours.

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