Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching.
Mao, Xuerong ; Truman, Aubrey ; Yuan, Chenggui
Journal of Applied Mathematics and Stochastic Analysis, Tome 2006 (2006), / Harvested from The Electronic Library of Mathematics
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Publié le : 2006-01-01
DOI : https://doi.org/10.1155/JAMSA/2006/80967
EUDML-ID : urn:eudml:doc:54624 
@article{05312394,
     title = {Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching.},
     journal = {Journal of Applied Mathematics and Stochastic Analysis},
     volume = {2006},
     year = {2006},
     doi = {10.1155/JAMSA/2006/80967},
     zbl = {1147.60320},
     language = {en},
     url = {http://dml.mathdoc.fr/item/05312394}
}

Mao, Xuerong; Truman, Aubrey; Yuan, Chenggui. Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching.. Journal of Applied Mathematics and Stochastic Analysis, Tome 2006 (2006) . doi : 10.1155/JAMSA/2006/80967. http://gdmltest.u-ga.fr/item/05312394/