Lindsay, A.E.; Brecher, D.R. - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 5, pp. 868-878
We consider the constant elasticity of variance (CEV) process, reviewing the relationships between its transition density and that of the non-central chi-squared distribution. When the CEV parameter exceeds one, the forward price process is a strictly local martingale, and the price of a plain...