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Journal of Probability and Statistics
/
2015
/
Article
/
Tab 4
/
Research Article
Approximating Explicitly the Mean-Reverting CEV Process
Table 4
98% error and step size of fully implicit SD, HAL, ALF, BIM, and BMM scheme for (
2
) with
.
Step Δ
SD-error
Rate
HAL-error
Rate
BIM-error
Rate
BMM-error
Rate
—
—
—
—