discretisation to simulate a mean-reverting square root process, one runs into the problem that while the process itself is … guaranteed to be nonnegative, the discretisation is not. Although an exact and efficient simulation algorithm exists for this … square root process. Consequently, when using an Euler discretisation, one must carefully think about how to fix negative …

optimisation problem. Our results are consistent with findings in the literature and highlight the impact the discretisation choice …

When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem that … while the process itself is guaranteed to be nonnegative, the discretisation is not. Although an exact and efficient … the variance is modelled as a square root process. Consequently, when using an Euler discretisation, one must carefully …

When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem that … while the process itself is guaranteed to be nonnegative, the discretisation is not. Although an exact and efficient … the variance is modelled as a square root process. Consequently, when using an Euler discretisation, one must carefully …

When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem that … while the process itself is guaranteed to be nonnegative, the discretisation is not. Although an exact and efficient … the variance is modelled as a square root process. Consequently, when using an Euler discretisation, one must carefully …