User contributions for DamianoBrigo2
A user with 36 edits. Account created on 24 November 2022.
19 May 2024
- 12:4012:40, 19 May 2024 diff hist +226 Constant elasticity of variance model →Dynamic: Corrected the special case gamma=0 as it needs addressing the drift, and added links to the pages "Black-Scholes model" and "Bachelier model".
17 May 2024
- 18:4418:44, 17 May 2024 diff hist +3 m Constant elasticity of variance model No edit summary
- 18:4318:43, 17 May 2024 diff hist +108 Constant elasticity of variance model Corrected gamma=1 which doesn't lead to the Bachelier model but to the Black-Scholes model, and added gamma=0 leading to the Bachelier model.
- 18:3418:34, 17 May 2024 diff hist +90 m Constant elasticity of variance model No edit summary
- 18:3218:32, 17 May 2024 diff hist 0 m Constant elasticity of variance model No edit summary
- 18:3018:30, 17 May 2024 diff hist +74 Constant elasticity of variance model →Dynamic: The equation for the model was wrong, the diffusion coefficient is usually with a power gamma, and the power gamma-1 comes from writing the return volatility rather than the asset volatility. All the discussion following the equation is consistent with this. I corrected the exponent to gamma and explained where gamma-1 comes from.
- 18:2418:24, 17 May 2024 diff hist +22 m Constant elasticity of variance model →See also: Technically CEV is a local volatility model, even though due to historical reasons it is classified as a stochastic volatility model. The local volatility page mentions this.