On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
Mario Hefter, Arnulf Jentzen
| Year of publication: |
2019
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|---|---|
| Authors: | Hefter, Mario ; Jentzen, Arnulf |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 23.2019, 1, p. 139-172
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| Subject: | Cox-Ingersoll-Ross process | Squared Bessel process | Stochastic differential equation | Strong (pathwise) approximation | Lower error bound | Optimal approximation | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-018-0375-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012023704