Weak approximation of CKLS and CEV processes by discrete random variables

DOI10.1007/S10986-020-09474-WzbMath1451.60078OpenAlexW3006799607MaRDI QIDQ779824

Gytenis Lileika, Vigirdas Mackevičius

Publication date: 14 July 2020

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

Full work available at URL: https://doi.org/10.1007/s10986-020-09474-w

zbMATH Keywords

weak approximationssplit-step approximationsCEVCKLS

Mathematics Subject Classification ID

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

Related Items (1)

Weak approximations of Wright-Fisher equation

Cites Work

• Unnamed Item
• Weak approximation of CIR equation by discrete random variables
• On backward Kolmogorov equation related to CIR process
• 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
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models

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