activity
20102017
most citedOption Pricing in a Regime Switching Stochastic Volatility Model

22 citations · 22 across the 3 of their papers we have counts for

collaborators
Showing math.STShow all

1 paper · 1 filter

math.ST2013

Diffusive Limits for Adaptive MCMC for Normal Target densities

Gopal K. Basak, Arunangshu Biswas

In this paper we apply the Diffusion approximation procedure to a discrete time Adaptive Markov Chain Monte Carlo (AMCMC) method when the target distribution is standard Normal. We…