Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion

Bent Jesper Christensen, Rolf Poulsen. Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion. Monte Carlo Meth. and Appl., 7(1-2):111-124, 2001. [doi]

Authors

Bent Jesper Christensen

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Rolf Poulsen

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