Academic Journal
On the discretization schemes for the CIR (and Bessel squared) processes
| العنوان: | On the discretization schemes for the CIR (and Bessel squared) processes |
|---|---|
| المؤلفون: | Aurélien Alfonsi |
| المساهمون: | The Pennsylvania State University CiteSeerX Archives |
| المصدر: | http://cermics.enpc.fr/reports/CERMICS-2005/CERMICS-2005-279.pdf. |
| سنة النشر: | 2005 |
| المجموعة: | CiteSeerX |
| الوصف: | In this paper, we focus on the simulation of the CIR processes and present several discretization schemes of both the implicit and explicit types. We study their strong and weak convergence. We also examine numerically their behaviour and compare them to the schemes already proposed by Deelstra and Delbaen [5] and Diop [6]. Finally, we gather all the results obtained and recommend, in the standard case, the use of one of our explicit schemes. 1 |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.411.2726; http://cermics.enpc.fr/reports/CERMICS-2005/CERMICS-2005-279.pdf |
| الاتاحة: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.411.2726 http://cermics.enpc.fr/reports/CERMICS-2005/CERMICS-2005-279.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| رقم الانضمام: | edsbas.323627B4 |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |