A new numerical scheme for the CIR process (Q500385): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1515/mcma-2015-0101
+Normal rank
@@ Property / OpenAlex ID @@
+W2289673737
@@ Property / OpenAlex ID: W2289673737 / rank @@
+Normal rank
@@ Property / cites work @@
+Structure preserving stochastic integration schemes in interest rate derivative modeling
+Normal rank
@@ Property / cites work @@
+Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+Semi-discrete approximations for stochastic differential equations and applications
+Normal rank
@@ Property / cites work @@
+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
+Normal rank
@@ Property / cites work @@
+A novel approach to construct numerical methods for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q3530675
@@ Property / cites work: Q3530675 / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank