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squared Bessel process
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On the discretization schemes for the CIR (and Bessel squared) processes
In this paper, we focus on the simulation of the Cox-Ingersoll-Ross processes and present several discretization schemes of both the implicit and explicit types...
Keywords: Simulation, discretization scheme, squared Bessel process, Cox-Ingersoll-Ross model, Romberg method
12/2005 | Monte Carlo Methods and Applications, Walter de Gruyter