Convergence of discretised stochastic interest rate: processes with stochastic drift term
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/7584.
Date of creation: 1998
Date of revision:
Publication status: Published in: Applied stochastic models and data analysis (1998) v.14,p.77-84
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- Bao, Jianhai & Yuan, Chenggui, 2013. "Long-term behavior of stochastic interest rate models with jumps and memory," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 266-272.
- Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai, 2013. "Asian and Australian options: A common perspective," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(5), pages 1001-1018.
- Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006. "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute Discussion Papers 06-046/4, Tinbergen Institute, revised 07 Jun 2007.
- Gyöngy, István & Rásonyi, Miklós, 2011. "A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 121(10), pages 2189-2200, October.
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