High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774)

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High order discretization schemes for the CIR process: Application to affine term structure and Heston models
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    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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