An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process


Dereich, Steffen ; Neuenkirch, Andreas ; Szpruch, Lukasz


DOI: https://doi.org/10.1098/rspa.2011.0505
URL: http://rspa.royalsocietypublishing.org/content/468...
Additional URL: http://www.mathematik.uni-marburg.de/~dereich/Prep...
Document Type: Article
Year of publication: 2012
The title of a journal, publication series: Proceedings / Section A, Mathematics
Volume: 468
Page range: 1105-1115
Place of publication: Edinburgh
Publishing house: Royal Soc. of Edinburgh
Publication language: English
Institution: School of Business Informatics and Mathematics > Wirtschaftsmathematik II (Neuenkirch 2013-)
Subject: 510 Mathematics

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.




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Dereich, Steffen ; Neuenkirch, Andreas ; Szpruch, Lukasz (2012) An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process. Proceedings / Section A, Mathematics Edinburgh 468 1105-1115 [Article]


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