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In this chapter, we discuss the classic CEV model and the CEV model with stochastic volatility. We derive PDF and option values for the CEV, based on analysis of solutions close to a singular point. For a general stochastic volatility, we obtain the option price in terms of the moment generating functions, assuming zero-correlation between asset and volatility .
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- Exact Solutions to CEV Model with Stochastic Volatility
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- Springer International Publishing