Simulation of CEV process
Version 1.0.0.0 (1.46 KB) by
Moeti Ncube
Constant Elasticity of Variance (CEV) process
This programs discretizes the CEV (constant elasticity of volatilty process and uses the process to price an option using Monte
Carlo methods.
Cite As
Moeti Ncube (2024). Simulation of CEV process (https://www.mathworks.com/matlabcentral/fileexchange/29936-simulation-of-cev-process), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2009b
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
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Version | Published | Release Notes | |
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1.0.0.0 |