Simulation of the CEV process and the local martingale property
Year of publication: |
2012
|
---|---|
Authors: | Lindsay, A.E. ; Brecher, D.R. |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 82.2012, 5, p. 868-878
|
Publisher: |
Elsevier |
Subject: | CEV process | Bessel process | Local martingale |
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