CEV Calibration 1.0

Date Added: July 31, 2013 | Visits: 266

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Using market data in the mktdata.txt file to estimate the parameters sigma and alpha of the Constant Elasticity of Variance (CEV) model by minimizing the sum of squared differences between the model price and the market call price.

Requirements: No special requirements

Platforms: Matlab

Keyword: Constant, Differences, Elasticity, Minimizing, Mktdatatxt, Model, Price, Squared, Variance

Users rating: 0/10

License: Shareware

Size: 10 KB

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