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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Constant elasticity of variance model ： ウィキペディア英語版 Constant elasticity of variance model In mathematical finance, the CEV or constant elasticity of variance model is a stochastic volatility model, which attempts to capture stochastic volatility and the leverage effect. The model is widely used by practitioners in the financial industry, especially for modelling equities and commodities. It was developed by John Cox in 1975〔Cox, J. "Notes on Option Pricing I: Constant Elasticity of Diffusions." Unpublished draft, Stanford University, 1975.〕 == Dynamic == The CEV model describes a process which evolves according to the following stochastic differential equation: :$dS\_t=\backslash mu\; S\_t\; dt\; +\; \backslash sigma\; S\_t\; ^\; \backslash gamma\; dW\_t$ The constant parameters $\backslash sigma,\backslash ;\backslash gamma$ satisfy the conditions $\backslash sigma\backslash geq\; 0,\backslash ;\backslash gamma\backslash geq\; 0$. The parameter $\backslash gamma$ controls the relationship between volatility and price, and is the central feature of the model. When we see the so-called leverage effect, commonly observed in equity markets, where the volatility of a stock increases as its price falls. Conversely, in commodity markets, we often observe $\backslash gamma\; >\; 1$, the so-called inverse leverage effect,〔Emanuel, D.C., and J.D. MacBeth, 1982. "Further Results of the Constant Elasticity of Variance Call Option Pricing Model." Journal of Financial and Quantitative Analysis, 4 : 533–553〕〔Geman, H, and Shih, YF. 2009. "Modeling Commodity Prices under the CEV Model." The Journal of Alternative Investments 11 (3): 65–84. 〕 whereby the volatility of the price of a commodity tends to increase as its price increases. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Constant elasticity of variance model」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.