Constant Elasticity of Variance (CEV) Diffusion Model
Author:
Publisher
John Wiley & Sons, Ltd
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/9780470061602.eqf08015/fullpdf
Reference22 articles.
1. Volatility skew and extensions of the LIBOR market model;Andersen;Applied Mathematical Finance,2000
2. Hybrid equity-credit modelling;Atlan;Risk Magazine,2005
3. Computing discrete mixtures of continuous distributions: noncentral chi-square, noncentral t and the distribution of the square of the sample multiple correlation coefficient;Benton;Computational Statistics and Data Analysis,2003
4. Handbook of Brownian Motion - Facts and Formulae
5. Systematic equity-based credit risk: A CEV model with jump to default;Campi;Journal of Economic Dynamics and Control,2008
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