The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model
DOI10.1016/J.CAMWA.2012.01.037zbMATH Open1268.91128OpenAlexW1985923566MaRDI QIDQ356137FDOQ356137
Authors: Chaminda H. Baduraliya, Xuerong Mao 
Publication date: 25 July 2013
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2012.01.037
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Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic models in economics (91B70)
Cites Work
- The pricing of options and corporate liabilities
- A theory of the term structure of interest rates
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An equilibrium characterization of the term structure
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- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Convergence of the Euler scheme for a class of stochastic differential equations
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
- A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
Cited In (12)
- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
- Mean-reverting \(\theta\) process with time delay and the convergence of its numerical solution
- Strong convergence of the partially truncated Euler-Maruyama scheme for a stochastic age-structured SIR epidemic model
- The balanced implicit method of preserving positivity for the stochastic SIQS epidemic model
- Positivity preserving truncated scheme for the stochastic Lotka-Volterra model with small moment convergence
- Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model
- The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
- Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
- A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations
- Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition
- A positivity preserving numerical method for stochastic R\&D model
- Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions
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