Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times (Q2963686)
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scientific article; zbMATH DE number 6687441
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| English | Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times |
scientific article; zbMATH DE number 6687441 |
Statements
Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times (English)
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21 February 2017
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Cox-Ingersoll-Ross process
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Sturm-Liouville problem
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Bessel function
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confluent hypergeometric equation
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numerical example
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0.9530653
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0.87943065
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0.87546575
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0.8684207
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0.8683392
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0.86157393
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