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Simulation of CEV process

06 Jan 2011

Constant Elasticity of Variance (CEV) process

File Information
Description	This programs discretizes the CEV (constant elasticity of volatilty process and uses the process to price an option using Monte Carlo methods.
MATLAB release	MATLAB 7.9 (2009b)

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Everyone's Tags	cev process, constant elasticity of variance process, monte carlo methods
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Tag	Applied By	Date/Time
monte carlo methods	Moeti Ncube	06 Jan 2011 09:00:57
cev process	Moeti Ncube	06 Jan 2011 09:00:57
constant elasticity of variance process	Moeti Ncube	06 Jan 2011 09:00:57