constant elasticity of variance process (absorbing boundary at f=0) More...
#include <ql/pricingengines/vanilla/analyticcevengine.hpp>
Public Member Functions | |
CEVCalculator (Real f0, Real alpha, Real beta) | |
Real | value (Option::Type optionType, Real strike, Time t) const |
Real | f0 () const |
Real | alpha () const |
Real | beta () const |
constant elasticity of variance process (absorbing boundary at f=0)
\[ df_t = \alpha f_t^\beta \mathrm{d}W_t \]
References:
D.R. Brecher, A.E. Lindsay, Results on the CEV Process, Past and Present https://www.fincad.com/sites/default/files/wysiwyg/Resources-Wiki/cev-process-working-paper.pdf