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An efficient and fast algorithm for simulations of mean-reverting square-root diffusions Conference paper
AIP Conference Proceedings, Hong Kong, PEOPLES R CHINA;Macau, PEOPLES R CHINA, NOV 30-DEC 03, 2009;DEC 02-03, 2009
Authors:  Deng Ding;  Chon Ip Chao
Favorite  |  View/Download:6/0  |  Submit date:2019/05/22
Mean-reverting  Positively Preservation  Simulation  Splitting-step Algorithm  Square-root Diffusions