High order discretization schemes for the cir process: Application to affine term structure and Heston models

Mathematics of Computation

Volumn 79, Issue 269, 2010, Pages 209-237

  Alfonsi, Aurélien ^a  

^a UNIVERSITÉ PARIS EST   (France)

Author keywords

Affine term structure models (ATSM); Cox Ingersoll Ross model; Discretization scheme; Heston model; Simulation; Squared Bessel process

Indexed keywords

EID: 77952814144     PISSN: 00255718     EISSN: None     Source Type: Journal    
DOI: 10.1090/S0025-5718-09-02252-2     Document Type: Article

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