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

登录注册会员服务联系我们

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

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

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

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

5. On the application of Wishart process to the pricing of equity derivatives: the multi-asset case;Computational Management Science;2021-03-09

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP