On weak approximations of CIR equation with high volatility

Mathematics and Computers in Simulation

Volumn 80, Issue 5, 2010, Pages 959-970

  Mackevičius, Vigirdas ^a  

^a VILNIUS UNIVERSITY   (Lithuania)

Author keywords

CIR equation; Simulation; Split step scheme; Weak approximation

Indexed keywords

HIGH VOLATILITY; SECOND-ORDER APPROXIMATION; SIMULATION RESULT; SPLIT-STEP; WEAK APPROXIMATION;

EID: 75849152013     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2009.11.001     Document Type: Article

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