Title:

On the Computation of Option Prices and Greeks under the CEV Model

Authors:

José Carlos Dias (ISCTE - Instituto Universitário de Lisboa)
Manuela Larguinho (U Évora, ISCAC, Coimbra)
Carlos A. Braumann (U Évora)

Journal:

Quantitative Finance

Year:

2013

Volume:

13

Pages:

907-917

JEL code:

G13 - Contingent Pricing; Futures Pricing