Empirical analysis and calibration of the CEV process for pricing equity default swaps

Belal E. Baaquie Department of Physics, National University of Singapore and Risk Management Institute, National University of Singapore, 2 Science Drive 3, Singapore 117542, Singapore

Tang Pan Department of Physics, National University of Singapore, SingaporeCorrespondence[email protected]

Jitendra D. Bhanap Department of Mathematics, National University of Singapore and National Australia Bank, #15-00, Suntec Tower 5, Singapore 038985, Singapore

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Siqi Liu, Adrian Melia, Xiaojing Song & Mark Tippett. (2020) Singular diffusions, constant elasticity of variance processes and logarithmic rates of return. The European Journal of Finance 26:9, pages 837-853.
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F. Mehrdoust, S. Babaei & S. Fallah. (2017) Efficient Monte Carlo option pricing under CEV model. Communications in Statistics - Simulation and Computation 46:3, pages 2254-2266.
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