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An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions
Journal article
Deng DING, C. I. CHAO. An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions[J]. Journal of Numerical Mathematics and Stochastics, 2010, 1(1), 45-55.
Authors:
Deng DING
;
C. I. CHAO
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Submit date：2019/07/09
Mean-reverting
Square-root Diffusion
Simulation
Positivity Preservation
Splitting-step Algorithm
