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

Chaminda H. Baduraliya, Xuerong Mao. The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model. Computers & Mathematics with Applications, 64(7):2209-2223, 2012. [doi]

Authors

Chaminda H. Baduraliya

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Xuerong Mao

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