Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912): Difference between revisions

@@ Property / DOI @@
-.3934/dcdsb.2016101
@@ Property / DOI: 10.3934/dcdsb.2016101 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2962875438
@@ Property / OpenAlex ID: W2962875438 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.00919
@@ Property / arXiv ID: 1601.00919 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
+Normal rank
@@ Property / cites work @@
+On the discretization schemes for the CIR (and Bessel squared) processes
+Normal rank
@@ Property / cites work @@
+Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
+Normal rank
@@ Property / cites work @@
+Moment explosions in stochastic volatility models
@@ Property / cites work: Moment explosions in stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
+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
@@ Property / cites work @@
+Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets
+Normal rank
@@ Property / cites work @@
+Convergence of discretized stochastic (interest rate) processes with stochastic drift term
+Normal rank
@@ Property / cites work @@
+An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Heston Model with Stochastic Interest Rates
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of solutions of a Riccati differential system from a general cumulant control problem
+Normal rank
@@ Property / cites work @@
+A comparison of biased simulation schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+First order strong approximations of scalar SDEs defined in a domain
+Normal rank
@@ Property / cites work @@
+THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
+Normal rank
@@ Property / DOI @@
+.3934/DCDSB.2016101
@@ Property / DOI: 10.3934/DCDSB.2016101 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:727912