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Constant Elasticity Volatility Pricing (CEV)

The stochastic differential equation of the model looks like this : dSt=λStpdWt
The model is widely used by practitioners in the financial industry, especially for modelling equities
and commodities. It was developed by John Cox in 1975. Our pricing is based on this reference.



Copyright : Moulong Armel Rodrigue, 2012

Contact: moulongarmel@yahoo.fr