Weak approximation of CIR equation by discrete random variables (Q392777)
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scientific article; zbMATH DE number 6245669
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weak approximation of CIR equation by discrete random variables |
scientific article; zbMATH DE number 6245669 |
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Weak approximation of CIR equation by discrete random variables (English)
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15 January 2014
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weak approximations
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split-step approximations
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numerical examples
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Cox-Ingersoll-Ross equation
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