Approximating Explicitly the Mean-Reverting CEV Process
We are interested in the numerical solution of mean-reverting CEV processes that appear in financial mathematics models and are described as nonnegative solutions of certain stochastic differential equations with sublinear diffusion coefficients of the form (xt)q, where 1/2<q<1. Our goal is to...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2015-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2015/513137 |