This paper considers the numerical methods of the mean-reverting square root process with jump. We concentrate on the Euler–Maruyama (EM) method and derive ...
This paper considers the numerical methods of the mean-reverting square root process with jump. We concentrate on the Euler-Maruyama (EM) method and derive ...
We spell this out for a bond with interest rate given by the mean-reverting square root process, and for an up-and-out barrier option with asset price governed.
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The mean-reverting square root process is a stochastic differential equation (SDE) that has found considerable use as a model for volatility, interest rate, ...
This paper suggests a method for the exact simulation of the stock price and variance under Hestons stochastic volatility model and other affine jump ...
The mean-reverting square root process is a stochastic differential equa- tion (SDE) that has found considerable use as a model for volatility, interest.
Apr 25, 2005 · The mean-reverting square root process is a stochastic differential equation (SDE) that has found considerable use as a model for volatility ...
Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump · CIR model · Compensated Poisson process · Euler-Maruyama · SV ...
The mean-reverting square root process is a stochastic differential equation (SDE) that has found considerable use as a model for volatility, interest rate, ...
Missing: jump. | Show results with:jump.
More and more empirical evidence shows that the jump-diffusion process is more appropriate to model an asset price, the interest rate and stochastic ...