Simulation of the CEV process and the local martingale property.

Alan Lindsay, Dominic Brecher

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	868-878
Journal	Mathematics and Computers in Simulation
Volume	82
Issue number	5
DOIs	https://doi.org/10.1016/j.matcom.2011.12.006
Publication status	Published - 2012

Access to Document

@article{10bea578ccc24b0f8579eeeadd60c158,

title = "Simulation of the CEV process and the local martingale property.",

author = "Alan Lindsay and Dominic Brecher",

year = "2012",

doi = "10.1016/j.matcom.2011.12.006",

language = "English",

volume = "82",

pages = "868--878",

journal = "Mathematics and Computers in Simulation",

issn = "0378-4754",

publisher = "Elsevier B.V.",

number = "5",

}

TY - JOUR

T1 - Simulation of the CEV process and the local martingale property.

AU - Lindsay, Alan

AU - Brecher, Dominic

PY - 2012

Y1 - 2012

UR - https://www.scopus.com/pages/publications/84857060488

U2 - 10.1016/j.matcom.2011.12.006

DO - 10.1016/j.matcom.2011.12.006

M3 - Article

SN - 0378-4754

VL - 82

SP - 868

EP - 878

JO - Mathematics and Computers in Simulation

JF - Mathematics and Computers in Simulation

IS - 5

ER -