Uniform approximation of the Cox-Ingersoll-Ross process (Q2786430): Difference between revisions

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+On the discretization schemes for the CIR (and Bessel squared) processes
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+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
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+An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
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+Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times
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