On a discrete version of the CIR process (Q2846807)
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scientific article; zbMATH DE number 6204320
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On a discrete version of the CIR process |
scientific article; zbMATH DE number 6204320 |
Statements
On a discrete version of the CIR process (English)
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3 September 2013
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discrete-time Markov chains
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financial mathematics
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diffusion processes
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absorption problems
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hydrology
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gambler's ruin problem
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Cox-Ingersoll-Ross process
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0.87902814
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0.8775637
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0.8699576
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0.8668709
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