Asymptotics for Greeks under the constant elasticity of variance model

2017/06/24 by Oleg L. Kritski, Kritski, Oleg L., Vladimir F. Zalmezh +1
Economics, Econometrics and Finance · #FOS: Economics and business #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1707.04149

openalex publication_date 2017/06/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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