Convergence of Monte Carlo simulations involving the mean-reverting square root process
نویسندگان
چکیده
منابع مشابه
Convergence of Monte Carlo Simulations involving the Mean-Reverting Square Root Process∗
The mean-reverting square root process is a stochastic differential equation (SDE) that has found considerable use as a model for volatility, interest rate, and other financial quantities. The equation has no general, explicit, solution, although its transition density can be characterized. For valuing path-dependent options under this model, it is typically quicker and simpler to simulate the ...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2005
ISSN: 1460-1559
DOI: 10.21314/jcf.2005.136