# Convergence of Monte Carlo Simulations involving the Mean-Reverting Square Root Process

@article{Higham2005ConvergenceOM, title={Convergence of Monte Carlo Simulations involving the Mean-Reverting Square Root Process}, author={Desmond J. Higham and Xuerong Mao}, journal={Journal of Computational Finance}, year={2005}, volume={8}, pages={35-61} }

The mean-reverting square root process is a stochastic differential equation (SDE) that has found considerable use as a model for volatility, interest rate, and other financial quantities. The equation has no general, explicit solution, although its transition density can be characterized. For valuing path-dependent options under this model, it is typically quicker and simpler to simulate the SDE directly than to compute with the exact transition density. Because the diffusion coefficient does…

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