On weak approximations of CIR equation with high volatility (Q2270458): Difference between revisions
From MaRDI portal
Latest revision as of 14:27, 2 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On weak approximations of CIR equation with high volatility |
scientific article |
Statements
On weak approximations of CIR equation with high volatility (English)
0 references
18 March 2010
0 references
The author presents a splitting technique for the scalar stochastic Cox-Ingersoll-Ross model which is weak order two and preserves positivity. The splitting at each step is into a deterministic component, solved exactly, and an Itô stochastic component, which is approximated in distribution.
0 references
CIR equation
0 references
simulation
0 references
weak approximation
0 references
split-step scheme
0 references
0 references
0 references
