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Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching

Xuerong Mao, Aubrey Truman, Chenggui Yuan Orcid Logo

Journal of Applied Mathematics and Stochastic Analysis, Volume: 2006, Pages: 1 - 20

Swansea University Author: Chenggui Yuan Orcid Logo

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DOI (Published version): 10.1155/JAMSA/2006/80967

Published in: Journal of Applied Mathematics and Stochastic Analysis
Published: 2006
URI: https://cronfa.swan.ac.uk/Record/cronfa23937
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first_indexed 2015-10-25T00:53:31Z
last_indexed 2018-02-09T05:03:13Z
id cronfa23937
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spelling 2015-10-24T17:54:31.9985472 v2 23937 2015-10-24 Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching 22b571d1cba717a58e526805bd9abea0 0000-0003-0486-5450 Chenggui Yuan Chenggui Yuan true false 2015-10-24 SMA Journal Article Journal of Applied Mathematics and Stochastic Analysis 2006 1 20 31 12 2006 2006-12-31 10.1155/JAMSA/2006/80967 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2015-10-24T17:54:31.9985472 2015-10-24T17:54:31.9985472 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Xuerong Mao 1 Aubrey Truman 2 Chenggui Yuan 0000-0003-0486-5450 3
title Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
spellingShingle Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
Chenggui Yuan
title_short Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
title_full Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
title_fullStr Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
title_full_unstemmed Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
title_sort Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
author_id_str_mv 22b571d1cba717a58e526805bd9abea0
author_id_fullname_str_mv 22b571d1cba717a58e526805bd9abea0_***_Chenggui Yuan
author Chenggui Yuan
author2 Xuerong Mao
Aubrey Truman
Chenggui Yuan
format Journal article
container_title Journal of Applied Mathematics and Stochastic Analysis
container_volume 2006
container_start_page 1
publishDate 2006
institution Swansea University
doi_str_mv 10.1155/JAMSA/2006/80967
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
document_store_str 0
active_str 0
published_date 2006-12-31T03:28:19Z
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score 11.036706

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