CEV Calibration
Version 1.0.0.0 (6.21 KB) by
Makafui Kalefe
Performs Calibration of CEV Model. Run CevCalibration.m to see how it works.
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.
Cite As
Makafui Kalefe (2024). CEV Calibration (https://www.mathworks.com/matlabcentral/fileexchange/32562-cev-calibration), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2011a
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 |