Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion

DOI10.1515/MCMA.2001.7.1-2.111zbMath0978.62098OpenAlexW1985882301MaRDI QIDQ2724985

Bent Jesper Christensen, Rolf Poulsen

Publication date: 5 February 2002

Published in: mcma (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2001.7.1-2.111

zbMATH Keywords

diffusionssimulation based methods

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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