CALZOLARI, GIORGIO; IORIO, FRANCESCA DI; FIORENTINI, … - In: Econometrics Journal 1 (1998) ConferenceIssue, pp. 100-100
additional computational cost, by use of control variates. The Ornstein-Uhlenbeck process, used by Vasicek to model the short-term … interest rate in continuous time, and the square-root process, used by Cox, Ingersoll and Ross, are explicitly considered and …