Han-Hsing Lee

National Chiao-Tung University

Graduate Institute of Finance

Hsinchu 300

Taiwan

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Scholarly Papers (1)

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Empirical Performance of the Constant Elasticity Variance Option Pricing Model

Review of Pacific Basin Financial Markets and Policies, Forthcoming
Posted: 22 Apr 2010 Last Revised: 04 May 2010
Ren-Raw Chen, Cheng-Few Lee and Han-Hsing Lee
Fordham University - Gabelli School of Business, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics and National Chiao-Tung University

Abstract:

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Constant-Elasticity-of-Variance (CEV) Process, Option Pricing Model, Empirical Performance, Numerical Experiment