Search Results - subject:"Mean-reverting square root process"

Firms in financial distress : evidence from inter-firm payment networks with volatility driven by "animal spirits"

Stellian, Rémi; Penagos, Gabriel I.; Danna-Buitrago, … - In: Journal of economic interaction and coordination 16 (2021) 1, pp. 59-101

Persistent link: https://www.econbiz.de/10012428416

An Efficient Semi-Analytical Simulation for the Heston Model

Sun, Xianming; Gan, Siqing - In: Computational Economics 43 (2014) 4, pp. 433-445

high efficiency and accuracy in the simulation for the mean-reverting square root process. Copyright Springer Science …

Persistent link: https://www.econbiz.de/10010866881

An efficient semi-analytical simulation for the Heston model

Sun, Xianming; Gan, Siqing - In: Computational economics 43 (2014) 4, pp. 433-445

Persistent link: https://www.econbiz.de/10010396258

Stochastic modeling of private equity: an equilibrium based approach to fund valuation

Buchner, Axel; Kaserer, Christoph; Wagner, Niklas - 2006

's lifetime. Capital distributions are assumed to follow lognormal distributions in our approach. A mean-reverting square-root … process is applied to model the rate at which capital is drawn over time. Applying equilibrium intertemporal asset pricing …

Persistent link: https://www.econbiz.de/10010305730

Stochastic modeling of private equity: an equilibrium based approach to fund valuation

Buchner, Axel; Kaserer, Christoph; Wagner, Niklas - Fakultät für Wirtschaftswissenschaften, Technische … - 2006

Persistent link: https://www.econbiz.de/10009219926