cev

financepy.models.cev

Created on Fri Sep 4 21:15:09 2026 @author: Dominic

Class

CEV

CEV(
    sigma: float,
    beta: float,
)

No description available.

Methods

value


value(
    self,
    stock_price,
    t_exp,
    strike,
    option_type,
    interest_rate,
    dividend_yield,
)

Value a European call or put option under the CEV model.

call_value


call_value(
    self,
    stock_price,
    t_exp,
    strike,
    interest_rate,
    dividend_yield,
)

Value a European call option under the CEV model. For beta < 1 the exact European CEV formula is expressed in terms of non-central chi-square distribution functions. For beta = 1 the model reduces to Black-Scholes.

put_value


put_value(
    self,
    stock_price,
    t_exp,
    strike,
    interest_rate,
    dividend_yield,
)

Value a European put option using put-call parity.

local_volatility


local_volatility(
    self,
    stock_price,
)

Return the instantaneous percentage local volatility sigma_loc(S) = sigma S^(beta - 1).

diffusion_coefficient


diffusion_coefficient(
    self,
    stock_price,
)

Return the absolute diffusion coefficient sigma S^beta appearing in dS = (r-q)S dt + sigma S^beta dW.

implied_volatility


implied_volatility(
    self,
    stock_price,
    t_exp,
    strike,
    interest_rate,
    dividend_yield,
)

Return the Black-Scholes implied volatility corresponding to the CEV European call price.

implied_volatility_curve


implied_volatility_curve(
    self,
    stock_price,
    t_exp,
    strikes,
    interest_rate,
    dividend_yield,
)

Return the Black-Scholes implied-volatility curve across strikes.

implied_volatility_skew


implied_volatility_skew(
    self,
    stock_price,
    t_exp,
    strikes,
    interest_rate,
    dividend_yield,
)

Alias for implied_volatility_curve(). For beta < 1 the basic CEV model generally produces a negative implied-volatility skew.

value_mc


value_mc(
    self,
    stock_price,
    t_exp,
    strike_price,
    option_type,
    interest_rate,
    dividend_yield,
    num_paths = 10000,
    num_steps_per_year = 252,
    seed = 4242,
)

Monte Carlo valuation using a full-truncation Euler scheme. This is primarily intended as a numerical cross-check of the analytic European pricing formula.

implied_volatility_surface


implied_volatility_surface(
    self,
    stock_price,
    expiries,
    strikes,
    interest_rate,
    dividend_yield,
)

Return the Black-Scholes implied-volatility surface generated by the CEV model. Parameters ---------- stock_price : float Current stock price. expiries : array_like Times to expiry in years. strikes : array_like Strike grid. interest_rate : float Continuously compounded risk-free rate. dividend_yield : float Continuously compounded dividend yield. Returns ------- vols : ndarray Matrix of implied volatilities with shape (len(expiries), len(strikes)) so that vols[i, j] is the implied volatility for expiries[i] and strikes[j].

Generated automatically from the FinancePy source code. Do not edit this file manually.