On weak approximations of CIR equation with high volatility
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Publication:2270458
DOI10.1016/J.MATCOM.2009.11.001zbMATH Open1188.65008OpenAlexW2104261729MaRDI QIDQ2270458FDOQ2270458
Authors: Vigirdas Mackevičius 
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
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Cites Work
- A theory of the term structure of interest rates
- Modeling with Itô Stochastic Differential Equations
- Expansion of the global error for numerical schemes solving stochastic differential equations
- On the discretization schemes for the CIR (and Bessel squared) processes
- Title not available (Why is that?)
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- On weak approximations of \((a, b)\)-invariant diffusions
- Second-order weak approximations for Stratonovich stochastic differential equations
Cited In (8)
- Weak approximation of CIR equation by discrete random variables
- On weak approximations of \((a, b)\)-invariant diffusions
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- Verhulst versus CIR
- Weak approximation of CKLS and CEV processes by discrete random variables
- An adaptive splitting method for the Cox-Ingersoll-Ross process
- Weak approximation of Heston model by discrete random variables
- Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
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