On weak approximations of CIR equation with high volatility

DOI10.1016/J.MATCOM.2009.11.001zbMath1188.65008OpenAlexW2104261729MaRDI QIDQ2270458

Vigirdas Mackevičius

Publication date: 18 March 2010

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2009.11.001

zbMATH Keywords

simulationweak approximationsplit-step schemeCIR equation

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Weak approximation of CIR equation by discrete random variables ⋮ Weak approximation of Heston model by discrete random variables ⋮ Weak approximation of CKLS and CEV processes by discrete random variables ⋮ Verhulst versus CIR

Cites Work

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• On weak approximations of \((a, b)\)-invariant diffusions
• Second-order weak approximations for Stratonovich stochastic differential equations
• A Theory of the Term Structure of Interest Rates
• On the discretization schemes for the CIR (and Bessel squared) processes
• Modeling with Itô Stochastic Differential Equations
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• Expansion of the global error for numerical schemes solving stochastic differential equations

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