Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times (Q2963686)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times |
scientific article |
Statements
Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times (English)
0 references
21 February 2017
0 references
Cox-Ingersoll-Ross process
0 references
Sturm-Liouville problem
0 references
Bessel function
0 references
confluent hypergeometric equation
0 references
numerical example
0 references
