Weak approximation of CIR equation by discrete random variables

DOI10.1007/S10986-011-9134-4zbMath1281.65014OpenAlexW1997496195MaRDI QIDQ392777

Vigirdas Mackevičius

Publication date: 15 January 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-011-9134-4

zbMATH Keywords

numerical examplesweak approximationsCox-Ingersoll-Ross equationsplit-step approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Weak approximations of Wright-Fisher equation ⋮ A second-order weak approximation of Heston model 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

• Unnamed Item
• On weak approximations of \((a, b)\)-invariant diffusions
• On weak approximations of CIR equation with high volatility
• A Theory of the Term Structure of Interest Rates
• On the discretization schemes for the CIR (and Bessel squared) processes
• 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
• A comparison of biased simulation schemes for stochastic volatility models

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