High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High order discretization schemes for the CIR process: Application to affine term structure and Heston models |
scientific article |
Statements
High order discretization schemes for the CIR process: Application to affine term structure and Heston models (English)
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30 August 2010
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simulation
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discretization scheme
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squared Bessel process
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Cox-Ingersoll-Ross model
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Heston model
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affine term structure models (ATSM)
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