The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model (Q356137): Difference between revisions

@@ Property / DOI @@
-.1016/j.camwa.2012.01.037
@@ Property / DOI: 10.1016/j.camwa.2012.01.037 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.camwa.2012.01.037
+Normal rank
@@ Property / OpenAlex ID @@
+W1985923566
@@ Property / OpenAlex ID: W1985923566 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating continuous-time stochastic volatility models of the short-term interest rate
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q2720356
@@ Property / cites work: Q2720356 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4938228
@@ Property / cites work: Q4938228 / rank @@
+Normal rank
@@ Property / cites work @@
+Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
+Normal rank
@@ Property / cites work @@
+Q4369402
@@ Property / cites work: Q4369402 / rank @@
+Normal rank
@@ Property / cites work @@
+A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.CAMWA.2012.01.037
@@ Property / DOI: 10.1016/J.CAMWA.2012.01.037 / rank @@
+Normal rank