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 |
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