Constant elasticity of variance model

Known as: CEV, CEV Model, Constant Elasticity of Variance 
In mathematical finance, the CEV or constant elasticity of variance model is a stochastic volatility model, which attempts to capture stochastic… (More)
Wikipedia

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2015
2015
This paper studies volatility derivatives such as variance and volatility swaps, options on variance in the modified constant… (More)
  • table 4.1
  • table 5.1
  • table 6.1
Is this relevant?
2015
2015
We consider an investment and consumption problem under the constant elasticity of variance (CEV)model, which is an extension of… (More)
  • figure 4
  • figure 5
Is this relevant?
2014
2014
In order to solve numerically the constant elasticity of variance (CEV) model for pricing of European call option, we propose in… (More)
  • table 1
  • table 2
Is this relevant?
2013
2013
The pricing of option contracts is one of the classical problems in Mathematical Finance. While useful exact solution formulas… (More)
  • table 1
  • table 2
  • table 3
  • table 4
  • figure 1
Is this relevant?
2013
2013
Abstract In this work we propose an approximate numerical method for pricing of options for the constant elasticity of variance… (More)
  • table 1
  • table 2
  • table 1
  • table 3
  • figure 1
Is this relevant?
Review
2009
Review
2009
The constant elasticity of variance (CEV) spot price model is a one-dimensional diffusion model with the instantaneous volatility… (More)
  • figure 1
Is this relevant?
2009
2009
This paper considers a modified constant elasticity of variance (MCEV) model. This model uses the familiar constant elasticity of… (More)
  • figure 1
  • figure 2
  • figure 3
  • figure 4
  • figure 5
Is this relevant?
2006
2006
We give results on the probability of absorption at zero of the diffusion process with non-Lipschitz diffusion coefficient dXt… (More)
Is this relevant?
2005
2005
A binomial model is developed to value options when the underlying process follows the constant elasticity of variance (CEV… (More)
  • table 1
  • table 2
Is this relevant?
2003
2003
We study the arbitrage free option pricing problem for constant elasticity of variance (CEV) model. To treat the stochastic… (More)
Is this relevant?