1
$\begingroup$

Could someone please point out to a good primer on CEV model? I am trying to get a basic grasp of the model: The dynamics, advantages & disadvantages, for which payoff it is usually used (Hybrid models??), how is it typically calibrated...

Thanks,

$\endgroup$
1
$\begingroup$

Try this blog post: link. It has simulation, parameter estimation in python and Proof sketch.

You can also check the John Hull book (ch 27.1) or Brigo and Mercurio (ch 10.2)

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.