Weak approximation of CIR equation by discrete random variables
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Cites work
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- A comparison of biased simulation schemes for stochastic volatility models
- A theory of the term structure of interest rates
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- On the discretization schemes for the CIR (and Bessel squared) processes
- On weak approximations of CIR equation with high volatility
- On weak approximations of \((a, b)\)-invariant diffusions
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
Cited in
(7)- Weak approximation of CKLS and CEV processes by discrete random variables
- On weak approximations of CIR equation with high volatility
- A second-order weak approximation of Heston model by discrete random variables
- Weak approximations of Wright-Fisher equation
- Verhulst versus CIR
- Weak approximation of Heston model by discrete random variables
- On a discrete version of the CIR process
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