QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
CEVRNDCalculator Class Reference

constant elasticity of variance process (absorbing boundary at f=0) More...

#include <ql/methods/finitedifferences/utilities/cevrndcalculator.hpp>

Inherits RiskNeutralDensityCalculator.

Public Member Functions

 CEVRNDCalculator (Real f0, Real alpha, Real beta)
 
Real massAtZero (Time t) const
 
Real pdf (Real f, Time t) const
 
Real cdf (Real f, Time t) const
 
Real invcdf (Real q, Time t) const
 

Detailed Description

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