Asymptotic properties of Monte Carlo estimators of diffusion processes
J Detemple, R Garcia, M Rindisbacher - Journal of Econometrics, 2006 - Elsevier
This paper studies the limit distributions of Monte Carlo estimators of diffusion processes. We examine two types of estimators based on the Euler scheme, one applied to the original …
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This paper studies the limit distributions of Monte Carlo estimators of diffusion processes. We examine two types of estimators based on the Euler scheme, one applied to the original …