Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process

By Aurélien Alfonsi. 2013

109 citations recorded by the source corpus.

Subfields: Applied Mathematics, Computational Mechanics, Finance

View Paper: https://www.semanticscholar.org/paper/c2004feac7ea7132a28353b52b9a4ea01c02fec2