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Simulation of CEV process 1.0

  Date Added: July 30, 2013  |  Visits: 192

Simulation of CEV process

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This programs discretizes the CEV (constant elasticity of volatilty process and uses the process to price an option using MonteCarlo methods.

Requirements: No special requirements
Platforms: Matlab
Keyword: Carlo Constant Discretizes Elasticity Methods Monte Option Price Process
Users rating: 0/10

License: Shareware Size: 10 KB
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