This paper expresses the constant elasticity of variance option pricing formula in terms of the noncentral chi‐square distribution. This allows the application of well‐known approximation formulas and the derivation of a whole class of closed‐form solutions. In addition, a simple and efficient algorithm for computing this distribution is presented.
No takes yet. Share an insight, caveat, or question.
Mark Schröder (1989) studied this question.
Synapse has enriched 3 closely related papers on similar clinical questions. Consider them for comparative context: