"High order discretization schemes for the CIR process: Application to ..."

Aurélien Alfonsi (2010)

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DOI: 10.1090/S0025-5718-09-02252-2

access: open

type: Journal Article

metadata version: 2021-10-14

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Aurélien Alfonsi:
High order discretization schemes for the CIR process: Application to affine term structure and Heston models. Math. Comput. 79(269): 209-237 (2010)

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