On weak approximations of CIR equation with high volatility
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Publication:2270458
DOI10.1016/j.matcom.2009.11.001zbMath1188.65008MaRDI QIDQ2270458
Publication date: 18 March 2010
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2009.11.001
65C30: Numerical solutions to stochastic differential and integral equations
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Cites Work
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