Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump (Q2379076)
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scientific article; zbMATH DE number 5491160
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| English | Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump |
scientific article; zbMATH DE number 5491160 |
Statements
Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump (English)
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14 January 2009
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CIR model
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compensated Poisson process
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Euler-Maruyama
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SV model
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SVCJ model
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0.8466804027557373
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0.8201279640197754
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0.8031007051467896
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0.8018364310264587
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0.7901140451431274
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