On the discretization schemes for the CIR (and Bessel squared) processes

Monte Carlo Methods and Applications

Volumn 11, Issue 4, 2005, Pages 355-384

  Alfonsi, Aurélien ^a  

^a UNIVERSITÉ PARIS EST   (France)

Author keywords

Cox Ingersoll Ross model; Discretization scheme; Romberg method; Simulation; Squared Bessel process

Indexed keywords

EID: 34547536758     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1163/156939605777438569     Document Type: Article

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