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- W1483449123 abstract "Abstract The constant elasticity of variance (CEV) spot price model is a one‐dimensional diffusion model with the instantaneous volatility specified to be a power function of the underlying spot price, σ( S ) = aS β . The model has been introduced by Cox as one of the early alternatives to the geometric Brownian motion to model asset prices. The CEV process is closely related to Bessel processes and is analytically tractable, leading to closed‐form options pricing formulas. Options prices in the CEV model exhibit implied volatility skews and, for β < 0, there is a positive probability of hitting zero (bankruptcy). This article surveys the CEV model." @default.
- W1483449123 created "2016-06-24" @default.
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- W1483449123 date "2010-02-26" @default.
- W1483449123 modified "2023-10-11" @default.
- W1483449123 title "Constant Elasticity of Variance ( <scp>CEV</scp> ) Diffusion Model" @default.
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- W1483449123 doi "https://doi.org/10.1002/9780470061602.eqf08015" @default.
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