CEV Calibration

Versione 1.0.0.0 (6,21 KB) da Makafui Kalefe
Performs Calibration of CEV Model. Run CevCalibration.m to see how it works.
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Aggiornato 17 ago 2011

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Using market data in the mktdata.txt file to estimate the parameters sigma and alpha of the Constant Elasticity of Variance (CEV) model by minimizing the sum of squared differences between the model price and the market call price.

Cita come

Makafui Kalefe (2025). CEV Calibration (https://it.mathworks.com/matlabcentral/fileexchange/32562-cev-calibration), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2011a
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CEV_Calibration_Code/

Versione Pubblicato Note della release
1.0.0.0