On the discretization schemes for the CIR (and Bessel squared) processes
نویسنده
چکیده
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.
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عنوان ژورنال:
- Monte Carlo Meth. and Appl.
دوره 11 شماره
صفحات -
تاریخ انتشار 2005