Search Results - subject:"square root process"

A cyclical square-root model for the term structure of interest rates

Moreno, Manuel; Platania, Federico - In: European journal of operational research : EJOR 241 (2015) 1, pp. 109-121

Persistent link: https://www.econbiz.de/10010486893

A comparison of biased simulation schemes for stochastic volatility models

Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2008 - This version: February 6, 2008

When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem that … the variance is modelled as a square root process. Consequently, when using an Euler discretisation, one must carefully …

Persistent link: https://www.econbiz.de/10011349176

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

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Lord, Roger; Koekkoek, Remmert; van Dijk, Dick - 2006

Persistent link: https://www.econbiz.de/10010325371

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - Tinbergen Institute - 2006

Persistent link: https://www.econbiz.de/10005136945

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

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - Tinbergen Instituut - 2006

discretisation to simulate a mean-reverting square root process, one runs into the problem that while the process itself is … square root process. Consequently, when using an Euler discretisation, one must carefully think about how to fix negative …

Persistent link: https://www.econbiz.de/10011255776

THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL

GUO, ZHI JUN; PLATEN, ECKHARD - In: International Journal of Theoretical and Applied … 15 (2012) 08, pp. 1250057-1

This paper derives explicit formulas for both the small and the large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run, even though they are negligible in the short time limit.

Persistent link: https://www.econbiz.de/10010883201