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Simulation of CEV process

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


Updated 06 Jan 2011

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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 (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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