Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Applied Financial Economics 21 (2011) 20, pp. 1479-1487
We present a robust and reliable methodology to calibrate and test the Constant Elasticity of Variance (CEV) model. Precisely, the parameters of the model are estimated by maximum likelihood, and an efficient numerical method to maximize the likelihood function is developed. Furthermore, a...