On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes

DOI10.1007/s00780-018-0375-5zbMath1425.91401arXiv1702.08761MaRDI QIDQ1711721

Arnulf Jentzen, Mario Hefter

Publication date: 18 January 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.08761

zbMATH Keywords

optimal approximation; lower error bound; Cox-Ingersoll-Ross process; squared Bessel process; strong (pathwise) approximation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)