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The Euler-Maruyama approximations for the CEV model
The Euler-Maruyama approximations the CEV model
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2010/10/20
The CEV model is given by the stochastic differential equation $X_t=X_0+\int_0^t\mu X_sds+\int_0^t\sigma (X^+_s)^pdW_s$, $\frac{1}{2}\le p<1$. It features a non-Lipschitz diffusion coefficient and ge...