Simulation of the CEV process and the local martingale property (Q419443): Difference between revisions

@@ Property / author @@
-Alan E. Lindsay
@@ Property / author: Alan E. Lindsay / rank @@
-Normal rank
@@ Property / author @@
+Alan E. Lindsay
@@ Property / author: Alan E. Lindsay / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.matcom.2011.12.006
+Normal rank
@@ Property / OpenAlex ID @@
+W2059743437
@@ Property / OpenAlex ID: W2059743437 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Q3217388
@@ Property / cites work: Q3217388 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus
@@ Property / cites work: Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
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@@ Property / cites work @@
+A survey and some generalizations of Bessel processes
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@@ Property / cites work @@
+Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
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+Q4794126
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@@ Property / cites work @@
+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
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+Q4002114
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+Q4942767
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+Q5585820
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+Q4905685
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+The noncentral chi-squared distribution with zero degrees of freedom and testing for uniformity
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+Potential operators associated with absorbing Bessel processes
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