Weak approximation of CKLS and CEV processes by discrete random variables

DOI10.1007/S10986-020-09474-WMaRDI QIDQ779824zbMATH OpenOpenAlexFDO

Authors Gytenis Lileika, Vigirdas Mackevičius

Publication date 14 July 2020

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-020-09474-w

zbMATH Keywords

CEVCKLSsplit-step approximationsweak approximations

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• 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
• scientific article; zbMATH DE number 52588 (Why is no real title available?)
• On backward Kolmogorov equation related to CIR process
• On the discretization schemes for the CIR (and Bessel squared) processes
• On weak approximations of CIR equation with high volatility
• Weak approximation of CIR equation by discrete random variables

Cited in

(3)

• Weak approximation of Heston model by discrete random variables
• Weak approximation of CIR equation by discrete random variables
• Weak approximations of Wright-Fisher equation

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