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Keywords: Euler–Maruyama Monte Carlo
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2014) 15 (3): 234–247.
Published: 19 May 2014
... in the extant literature by providing an innovative model based on an Euler–Maruyama Monte Carlo scheme to price structured products. In this study, we will focus on a valuation of the fair price of an SB based on the Cox–Ingersoll–Ross (CIR hereafter) model by implementing an innovative Euler–Maruyama Monte...
