CEV model

manav · July 19th, 2005, 1:09 pm

HiI am looking for the original paper on the CEV model. If someone can post it, or send me a link for it, I'll highly appreciate it...thanks

xDan · July 22nd, 2005, 5:35 am

A Note of Option Pricing for Constant Elasticity of Variance ModelApproximating volatility diffusions with CEV-ARCH modelsClosed-form pricing of Benchmark Equity Default Swaps under the CEV assumption

manav · July 22nd, 2005, 5:49 pm

thanks... I was looking for the original paper...