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

DOI10.1090/S0025-5718-09-02252-2zbMath1198.60030OpenAlexW2151162365MaRDI QIDQ3584774

Publication date: 30 August 2010

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0025-5718-09-02252-2

zbMATH Keywords

simulation Cox-Ingersoll-Ross model Heston model discretization scheme squared Bessel process affine term structure models (ATSM)

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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