image thumbnail

Simulation of CEV process

version 1.0.0.0 (1.46 KB) by Moeti Ncube
Constant Elasticity of Variance (CEV) process

850 Downloads

Updated 06 Jan 2011

View License

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 (2021). 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 Linux

Community Treasure Hunt

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

Start Hunting!