High order discretization schemes for the CIR process: application to affine term structure and heston models (Q3584774)
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scientific article; zbMATH DE number 5776219
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| English | High order discretization schemes for the CIR process: application to affine term structure and heston models |
scientific article; zbMATH DE number 5776219 |
Statements
High order discretization schemes for the CIR process: Application to affine term structure and Heston models (English)
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30 August 2010
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simulation
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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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Heston model
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affine term structure models (ATSM)
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0.8457599878311157
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0.8139179348945618
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0.7999900579452515
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0.7968385815620422
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0.7941082119941711
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