A comparison of biased simulation schemes for stochastic volatility models (Q5190133): Difference between revisions

@@ Property / OpenAlex ID @@
+W3123725596
@@ Property / OpenAlex ID: W3123725596 / rank @@
+Normal rank
@@ Property / cites work @@
+On the discretization schemes for the CIR (and Bessel squared) processes
+Normal rank
@@ Property / cites work @@
+Moment explosions in stochastic volatility models
@@ Property / cites work: Moment explosions in stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+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 @@
+Convergence of discretized stochastic (interest rate) processes with stochastic drift term
+Normal rank
@@ Property / cites work @@
+Efficient Monte Carlo simulation of security prices
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
+Normal rank
@@ Property / cites work @@
+A note on Euler's approximations
@@ Property / cites work: A note on Euler's approximations / 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 @@
+Fast strong approximation Monte Carlo schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Q2763689
@@ Property / cites work: Q2763689 / rank @@
+Normal rank
@@ Property / cites work @@
+A simple method for generating gamma variables
@@ Property / cites work: A simple method for generating gamma variables / rank @@
+Normal rank
@@ Property / cites work @@
+Boundary Preserving Semianalytic Numerical Algorithms for Stochastic Differential Equations
+Normal rank