Density function

[Quantinator]

What is the transition probability density function?
Does anyone have good information on it with regards to the CEV model?
(sorry for the double post, accident)

 

[Ken Abbott]

Do you mean the projection of a credit transition matrix onto a Gaussian density function? What is a CEV model?

 

[Quantinator]

Do you mean the projection of a credit transition matrix onto a Gaussian density function? What is a CEV model?

No, the cev is the constant elasticity of variance model used to price options.

Does anyone have the cox (1975) paper regarding the cev model please?

 

[Quantinator]

Am I right in saying the transition probability density function for the cev model only when B<2 is
f(ST | St, T > t) = (2−β)k^1/(2−β)(xz1−β)1/(2(2−β))e−x−zI1/(2−β)(2(xz)1/2