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The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model.
Chaminda H. Baduraliya
Xuerong Mao
Published in:
Comput. Math. Appl. (2012)
Keyphrases
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probabilistic model
stochastic model
closed form
computational model
cost function
statistical model
long term
probability distribution
mathematical model