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The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model.

Chaminda H. BaduraliyaXuerong Mao
Published in: Comput. Math. Appl. (2012)
Keyphrases
  • probabilistic model
  • stochastic model
  • closed form
  • computational model
  • cost function
  • statistical model
  • long term
  • probability distribution
  • mathematical model