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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:5/0  |  Submit date:2019/05/22
Mean-reverting  Positively Preservation  Simulation  Splitting-step Algorithm  Square-root Diffusions  
An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions Journal article
Journal of Numerical Mathematics and Stochastics, 2010,Volume: 1,Issue: 1,Page: 45-55
Authors:  Deng DING;  C. I. CHAO
Favorite  |  View/Download:1/0  |  Submit date:2019/07/09
Mean-reverting  Square-root Diffusion  Simulation  Positivity Preservation  Splitting-step Algorithm