The Euler-Maruyama approximations for the CEV model

Vyacheslav Abramov, Fima Klebaner, Robert Liptser

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4 Citations (Scopus)

Abstract

The CEV model is given by the stochastic differential equation X(t) = X(0)integral(t)(0) mu X(s)ds + integral(t)(0)sigma(X(s)(+))(P)dW(s), 1/2
Original languageEnglish
Pages (from-to)1 - 14
Number of pages14
JournalDiscrete and Continuous Dynamical Systems - Series B
Volume16
Issue number1
DOIs
Publication statusPublished - 2011

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