On the discretization schemes for the CIR (and Bessel squared) processes (Q3367271)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the discretization schemes for the CIR (and Bessel squared) processes |
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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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