On weak approximations of CIR equation with high volatility
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Publication:2270458
DOI10.1016/j.matcom.2009.11.001zbMath1188.65008MaRDI QIDQ2270458
Publication date: 18 March 2010
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2009.11.001
65C30: Numerical solutions to stochastic differential and integral equations
Related Items
Weak approximation of CIR equation by discrete random variables, Weak approximation of CKLS and CEV processes by discrete random variables, Weak approximation of Heston model by discrete random variables, Verhulst versus CIR
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