On weak approximations of CIR equation with high volatility (Q2270458)
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scientific article; zbMATH DE number 5683216
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| English | On weak approximations of CIR equation with high volatility |
scientific article; zbMATH DE number 5683216 |
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On weak approximations of CIR equation with high volatility (English)
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18 March 2010
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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.
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CIR equation
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simulation
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weak approximation
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split-step scheme
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0.8730024099349976
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0.7968385815620422
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0.7926349639892578
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0.770520806312561
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0.7702527642250061
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