Further Results on the Constant Elasticity of Variance Call Option Pricing Model

1982 ◽  
Vol 17 (4) ◽  
pp. 533 ◽  
Author(s):  
David C. Emanuel ◽  
James D. MacBeth
Keyword(s):  
Option Pricing ◽  
Call Option ◽  
Pricing Model ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance ◽  
Option Pricing Model

scholarly journals A Comparison of the Black-Scholes Option Pricing Model and Its Alternatives

2019 ◽  
Vol 67 (2) ◽  
pp. 105-110
Author(s):  
ABM Shahadat Hossain ◽  
Maliha Tasmiah Noushin ◽  
Kamrul Hasan
Keyword(s):  
Option Pricing ◽  
Option Price ◽  
Pricing Model ◽  
Cev Model ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance ◽  
Elasticity Parameter ◽  
Put Option ◽  
Black Scholes ◽  
Option Pricing Model

In this paper we estimate European put option price by using awell-established option pricing model, namely, the Constant Elasticity of Variance (CEV) model for the elasticity parameter β< 2 and then compare it with the benchmark Black-Scholes (BS) model. We calculate the Greeks under the CEV model for β=0,1 and 1.95 and compare them with that of the B-S one. Finally, we investigate the put price and Greeks values for at-the-money (ATM), in-the-money (ITM) and out-of-the-money (OTM) situations. Dhaka Univ. J. Sci. 67(2): 105-110, 2019 (July)

scholarly journals Evaluation of the Reverse Mortgage Option in Korea: A Long Straddle Perspective

2020 ◽  
Vol 8 (3) ◽  
pp. 55
Author(s):  
Kyung Jin Choi ◽  
Byungkwon Lim ◽  
Jaehwan Park
Keyword(s):  
Option Pricing ◽  
House Price ◽  
Analytical Models ◽  
Call Option ◽  
Option Value ◽  
Pricing Model ◽  
Reverse Mortgage ◽  
Option Pricing Model ◽  
Reverse Mortgages ◽  
Key Variables

This study explored the option value embedded in a reverse mortgage in Korea through an empirical analysis, using the Black–Scholes option-pricing model. The value of a reverse mortgage is affected by the variation in house prices. However, older homeowners using reverse mortgages are able to choose this option due to the unique characteristics of reverse mortgages, such as non-recourse clauses or being able to redeem the loan. This paper found the following results. First, the call option value is 5.8% of the house price at the age of 60, under the assumption of a KRW three hundred million house value, while the put option value is only 2.0%. Contrary to what it is at sixty years of age, only the call option value will remain when the homeowner reaches the age of 80. Second, this article analyzed the sensitivity of the key variables of real-option analytical models, such as the change of the exercise price, the change of the risk-free rate, volatility, and maturity, on the option value of a reverse mortgage. The sensitivity results of the key variables supported economic rationales for the option pricing model.

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