Stochastic Square of the Brennan-Schwartz Diffusion Process: Statistical Computation and Application-Reference-Cited by-同舟云学术

Stochastic Square of the Brennan-Schwartz Diffusion Process: Statistical Computation and Application

Published:2019-04-27 Issue:2 Volume:22 Page:455-476
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Nafidi Ahmed,Moutabir Ghizlane^ORCID,Gutiérrez-Sánchez Ramón,Ramos-Ábalos Eva

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11009-019-09714-8.pdf

Reference29 articles.

1. Allen LJ (2010) An introduction to stochastic processes with applications to biology. CRC Press, Boca Raton

2. Bezborodov V, Di Persio L, Mishura Y (2016) Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth. arXiv: 160707392

3. Brennan MJ, Schwartz ES (1979) A continuous time approach to the pricing of bonds. J Bank Financ 3(2):133–155

4. Campillo F, Joannides M, Larramendy-Valverde I (2016) Analysis and approximation of a stochastic growth model with extinction. Methodol Comput Appl Probab 18(2):499–515

5. Chesney M, Elliott RJ (1995) Estimating the instantaneous volatility and covariance of risky assets. Appl Stochastic Models Data Anal 11(1):51–58

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