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...
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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)