A new numerical scheme for the CIR process (Q500385): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new numerical scheme for the CIR process |
scientific article |
Statements
A new numerical scheme for the CIR process (English)
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2 October 2015
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CIR process
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explicit numerical scheme
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positivity preservation
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order of convergence
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