Exact and high-order discretization schemes for Wishart processes and their affine extensions-Reference-Cited by-同舟云学术

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Exact and high-order discretization schemes for Wishart processes and their affine extensions

Published:2013-06-01 Issue:3 Volume:23 Page:
ISSN:1050-5164
Container-title:The Annals of Applied Probability
language:
Short-container-title:Ann. Appl. Probab.

Author:

Ahdida Abdelkoddousse,Alfonsi Aurélien

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://projecteuclid.org/download/pdfview_1/euclid.aoap/1362684853

Cited by 28 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate;International Journal of Computer Mathematics;2024-03-03

2. A Linear-Rational Multi-Curve Term Structure Model with Stochastic Spread;SSRN Electronic Journal;2022

3. The Log-Asset Dynamic with Euler–Maruyama Scheme under Wishart Processes;International Journal of Mathematics and Mathematical Sciences;2021-11-25

4. A new class of multidimensional Wishart-based hybrid models;Decisions in Economics and Finance;2021-10-11

5. European Option Pricing under Wishart Processes;Journal of Mathematics;2021-07-10

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