Huang, Jian; Kobayashi, Masahito; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 83 (2012) C, pp. 1-9
This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. [K.C. Chan, G.A. Karolyi, F.A. Longstaff, A.B. Sanders, An empirical comparison of alternative models of the short-term interest rate, Journal of Finance 47 (1992) 1209–1227]. The CEV model without...