Function File: CEV = cev (Return, Alpha, Sigma)

Function File: CEV = cev (Return, Alpha, Sigma, OptionName, OptionValue, …)

Creates an object to represent a constant elasticity of variance (CEV) stochastic differential equation (SDE).

dX_t = (Return(t) * X_t)dt + (diag(X_t.^Alpha(t)) * Sigma(t))dW_t

See the @sde documentation for a list of optional arguments.

See also: sde.

Package: financial