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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 (2026). Simulation of CEV process (https://uk.mathworks.com/matlabcentral/fileexchange/29936-simulation-of-cev-process), MATLAB Central File Exchange. Retrieved .
Categories
Find more on Stochastic Differential Equation (SDE) Models in Help Center and MATLAB Answers
General Information
- Version 1.0.0.0 (1.46 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
