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The Euler-Maruyama approximations for the CEV model

Vyacheslav Abramov, F. Klebaner and R. Liptser

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Abstract: The CEV model is given by the stochastic differential equation $X_t=X_0+\int_0^t\mu X_sds+\int_0^t\sigma (X^+_s)^pdW_s$, $\frac{1}{2}\le p

Date: 2010-05
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