"On the discretization schemes for the CIR (and Bessel squared) processes."

Aurélien Alfonsi (2005)

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DOI: 10.1515/156939605777438569

access: closed

type: Journal Article

metadata version: 2020-07-03

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Aurélien Alfonsi:
On the discretization schemes for the CIR (and Bessel squared) processes. Monte Carlo Methods Appl. 11(4): 355-384 (2005)

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