Simulation of the CEV process and the local martingale property (Q419443): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J70 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6036534 / rank | |||
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CEV process | |||
| Property / zbMATH Keywords: CEV process / rank | |||
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Bessel process | |||
| Property / zbMATH Keywords: Bessel process / rank | |||
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local martingale | |||
| Property / zbMATH Keywords: local martingale / rank | |||
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Revision as of 21:20, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulation of the CEV process and the local martingale property |
scientific article |
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Simulation of the CEV process and the local martingale property (English)
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18 May 2012
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CEV process
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Bessel process
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local martingale
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