Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process
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References listed on IDEAS
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"Asymptotic properties of Monte Carlo estimators of diffusion processes,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Halidias Nikolaos, 2015. "Constructing positivity preserving numerical schemes for the two-factor CIR model," Monte Carlo Methods and Applications, De Gruyter, vol. 21(4), pages 313-323, December.
- Andrei Cozma & Christoph Reisinger, 2015. "Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process," Papers 1601.00919, arXiv.org.
- Nikolaos Halidias & Ioannis Stamatiou, 2015. "Approximating explicitly the mean reverting CEV process," Papers 1502.03018, arXiv.org, revised May 2015.
- Andrei Cozma & Christoph Reisinger, 2017. "Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process," Papers 1704.07321, arXiv.org.
- Jean-Francois Chassagneux & Antoine Jacquier & Ivo Mihaylov, 2014. "An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients," Papers 1405.3561, arXiv.org, revised Apr 2016.
- Andrei Cozma & Christoph Reisinger, 2017. "Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models," Papers 1706.07375, arXiv.org.
- Halidias Nikolaos, 2015. "A new numerical scheme for the CIR process," Monte Carlo Methods and Applications, De Gruyter, vol. 21(3), pages 245-253, September.
More about this item
KeywordsDrift implicit Euler scheme; Cox–Ingersoll–Ross model; Strong error; Lamperti transformation;
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