Simulation of the CEV process and the local martingale property
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Publication:419443
DOI10.1016/j.matcom.2011.12.006zbMath1237.91218MaRDI QIDQ419443
D. R. Brecher, Alan E. Lindsay
Publication date: 18 May 2012
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2011.12.006
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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