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

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
 

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