Skip to search formSkip to main contentSkip to account menu

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… 
Wikipedia (opens in a new tab)

Related topics

Related topics

1 relation
SABR volatility model

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods
The constant elasticity of variance (CEV) model is widely studied and applied for volatility forecasting and optimal decision… 
2013
2013
Option pricing with constant elasticity of variance (CEV) model
Abstract In this work we propose an approximate numerical method for pricing of options for the constant elasticity of variance… 
2012
2012
Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
We analyze the implied volatility skews generated by displaced lognormal diffusions. In particular, we prove the global… 
2010
2010
Real-World Pricing for a Modified Constant Elasticity of Variance Model
Abstract This paper considers a modified constant elasticity of variance (MCEV) model. This model uses the familiar constant… 
Review
2008
Review
2008
Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
In this paper we review the renowned constant elasticity of variance (CEV) option pricing model and give the detailed derivations… 
2005
2005
Valuation of Standard Options under the Constant Elasticity of Variance Model
A binomial model is developed to value options when the underlying process follows the constant elasticity of variance (CEV… 
2002
2002
Modeling Variance of Variance: The Square-Root, the Affine, and the CEV GARCH Models ∗
This paper develops a new econometric framework for investigating how the sensitivity of the financial market volatility to… 
2001
2001
Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion
We use Simulation based methods to construct improved estimation procedures for discretely observed diffusions. The benchmark… 
1982
1982
Circular double-stranded RNA in potato spindle tuber viroid-infected tomatoes
Viroids are circular molecules of single-stranded RNA consisting of ∼360 nucleotides1,2, and the mechanism by which these… 
1980
1980
The response of plant species used in agriculture and horticulture to viroid infections
The reactions of the viroids causing cucumber pale fruit (CPFV), chrysanthemum stunt (CSV) and citrus exocortis (CEV) in… 
By clicking accept or continuing to use the site, you agree to the terms outlined in our Privacy Policy (opens in a new tab), Terms of Service (opens in a new tab), and Dataset License (opens in a new tab)