On the discretization schemes for the CIR (and Bessel squared) processes (Q3367271)
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scientific article; zbMATH DE number 5000936
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| English | On the discretization schemes for the CIR (and Bessel squared) processes |
scientific article; zbMATH DE number 5000936 |
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On the discretization schemes for the CIR (and Bessel squared) processes (English)
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24 January 2006
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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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Romberg method
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numerical examples
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comparison of methods
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stochastic integro-differential equation
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0.8457599878311157
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0.839817225933075
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0.8147909641265869
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0.8135048747062683
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