First and second moment reversion for a discretized square root process with jumps
Publication:5305973
DOI10.1080/10236190802705719zbMath1188.91241OpenAlexW2056414623MaRDI QIDQ5305973
Desmond J. Higham, Graeme D. Chalmers
Publication date: 24 March 2010
Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10236190802705719
stabilitystochastic differential equationMonte Carlovarianceinterest ratevolatilityimplicitItô Lemma
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (8)
Cites Work
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- Numerical methods for nonlinear stochastic differential equations with jumps
- A Theory of the Term Structure of Interest Rates
- On the discretization schemes for the CIR (and Bessel squared) processes
- Financial Modelling with Jump Processes
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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