A comparison of biased simulation schemes for stochastic volatility models
Work
Year: 2009
Type: article
Abstract: Using an Euler discretization to simulate a mean-reverting CEV process gives rise to the problem that while the process itself is guaranteed to be nonnegative, the discretization is not. Although an ... more
Source: Quantitative Finance
Institution Erasmus University Rotterdam
Cites: 45
Cited by: 329
Related to: 10
FWCI: 19.54
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: green