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.
5.0
(1)
679 Downloads
Updated 17 Aug 2011

View License

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 Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

CEV_Calibration_Code/

Version Published Release Notes
1.0.0.0