Author:
M. Abramov Vyacheslav, ,C. Klebaner Fima,Sh. Lipster Robert, ,
Publisher
American Institute of Mathematical Sciences (AIMS)
Subject
Applied Mathematics,Discrete Mathematics and Combinatorics
Reference27 articles.
1. Higher order discretization schemes for the CIR process: application to affine term structure and Heston models,;A. Alfonsi;Mathematics of Computation,2010
2. The law of the Euler scheme for stochastic differential equations I. Convergence rate of the distribution function,;V. Bally;Probability Theory and Related Fields,1996
3. "Converges of Probability Measures,";P. Billingsley;John Wiley & Sons,1968
4. An efficient discretisation scheme for one dimensional SDEs with a diffusion coefficient function of the form $|x|^\alpha, \alpha\in [1/2, 1)$,;M. Bossy;preprint,2007
5. The constant elasticity of variance option. Pricing model,;J. C. Cox;The Journal of Portfolio Management,1997
Cited by
6 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