Stochastic Brennan–Schwartz Diffusion Process: Statistical Computation and Application
In this paper, we study the one-dimensional homogeneous stochastic Brennan−Schwartz diffusion process. This model is a generalization of the homogeneous lognormal diffusion process. What is more, it is used in various contexts of financial mathematics, for example in deriving a numerical m...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-11-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/7/11/1062 |