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

Rolf Poulsen, Bent Jesper Christensen

Abstract

Diffusion processes, Estimation

Original language	English
Journal	Monte Carlo Methods and Applications
Volume	7
Issue number	1-2
Pages (from-to)	111-123
ISSN	0929-9629
Publication status	Published - 2001

@article{a599f75074c211dbbee902004c4f4f50,

title = "Monte Carlo Improvement of Estimates of the Mean Reverting Constant Elasticity of Variance Interest Rate Diffusion",

abstract = "Diffusion processes, Estimation",

author = "Rolf Poulsen and Christensen, {Bent Jesper}",

year = "2001",

language = "English",

volume = "7",

pages = "111--123",

journal = "Monte Carlo Methods and Applications",

issn = "0929-9629",

publisher = "Walterde Gruyter GmbH",

number = "1-2",

}

TY - JOUR

T1 - Monte Carlo Improvement of Estimates of the Mean Reverting Constant Elasticity of Variance Interest Rate Diffusion

AU - Poulsen, Rolf

AU - Christensen, Bent Jesper

PY - 2001

Y1 - 2001

N2 - Diffusion processes, Estimation

AB - Diffusion processes, Estimation

M3 - Journal article

SN - 0929-9629

VL - 7

SP - 111

EP - 123

JO - Monte Carlo Methods and Applications

JF - Monte Carlo Methods and Applications

IS - 1-2

ER -