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1 A comparison of biased simulation schemes for stochastic volatility models Roger Lord 1 Remmert Koekkoek 2 Dick van Dijk 3 First version: June 23, 2005 This version: February 6, 2008 A ...
Euler discretisations Joint work with Remmert Koekkoek (RobecoAlternative Investments) and Dick van Dijk (Erasmus University Rotterdam), "A comparison of biased simulation schemes for ...
Session timed out - new session started. You may need to sign in again. [ hide ... Roger Lord a; Remmert Koekkoek b; Dick Van Dijk c
Roger Lord, Remmert Koekkoek, Dick Van Djik (2008) ... Mendeley is a free reference management tool for your desktop & the web that can ...
This paper studies a generalization of Rubinstein's bargaining model with ... Roger Lord, Remmert Koekkoek, Dick Van Dijk
Euler discretisations Joint work with Remmert Koekkoek (RobecoAlternative Investments) and Dick van Dijk (Erasmus University Rotterdam), "A comparison of biased simulation ...
1 A comparison of biased simulation schemes for stochastic volatility models Roger Lord 1 Remmert Koekkoek 2 Dick van Dijk 3 First version: June 23, 2005 This version: February 6 ...
... Roger Lord a; Remmert Koekkoek b; Dick Van Dijk c ... Keywords: Stochastic volatility; Heston; Square root process; CEV process ...
View Remmert Koekkoek's (United Kingdom) professional profile on LinkedIn. LinkedIn is the world's largest business network, helping professionals like ...
Remmert Koekkoek. Title: --; Demographic info: London, United Kingdom ...
Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006. "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute ...
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Roger Lord, Remmert Koekkoek, Dick Van Dijk. When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem ...
by R Lord -
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Roger Lord, Remmert Koekkoek, Dick Van Djik. Erasmus, (2008). Filed in Other ( Mathematics). Add to My Library More like this ...
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