The Euler-Maruyama approximations for the CEV model

Vyacheslav Abramov, F. Klebaner and R. Liptser

Papers from arXiv.org

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
New Economics Papers: this item is included in nep-ecm
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1005.0728 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1005.0728

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().