Simulation of CEV process

Versione 1.0.0.0 (1,46 KB) da Moeti Ncube
Constant Elasticity of Variance (CEV) process
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Aggiornato 6 gen 2011

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This programs discretizes the CEV (constant elasticity of volatilty process and uses the process to price an option using Monte
Carlo methods.

Cita come

Moeti Ncube (2024). Simulation of CEV process (https://www.mathworks.com/matlabcentral/fileexchange/29936-simulation-of-cev-process), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2009b
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Versione Pubblicato Note della release
1.0.0.0