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

Mao, Xuerong, Truman, Aubrey, and Yuan, Chenggui. "Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching.." Journal of Applied Mathematics and Stochastic Analysis 2006 (2006): Article ID 80967, 20 p.-Article ID 80967, 20 p.. <http://eudml.org/doc/54624>.

@article{Mao2006,
author = {Mao, Xuerong, Truman, Aubrey, Yuan, Chenggui},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {Euler-Maruyama (EM) scheme; regime-switching; non-Lipschitz coefficients},
language = {eng},
pages = {Article ID 80967, 20 p.-Article ID 80967, 20 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching.},
url = {http://eudml.org/doc/54624},
volume = {2006},
year = {2006},
}

TY - JOUR
AU - Mao, Xuerong
AU - Truman, Aubrey
AU - Yuan, Chenggui
TI - Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2006
PB - Hindawi Publishing Corporation, New York
VL - 2006
SP - Article ID 80967, 20 p.
EP - Article ID 80967, 20 p.
LA - eng
KW - Euler-Maruyama (EM) scheme; regime-switching; non-Lipschitz coefficients
UR - http://eudml.org/doc/54624
ER -