Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
暂无分享,去创建一个
[1] Michael B. Giles,et al. Multilevel Monte Carlo Path Simulation , 2008, Oper. Res..
[2] C. Reisinger,et al. Convergence of an Euler discretisation scheme for the Heston stochastic-local volatility model with CIR interest rates , 2015 .
[3] M. Hutzenthaler,et al. Strong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries , 2014, 1403.6385.
[4] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[5] D. Higham,et al. Convergence of Monte Carlo Simulations involving the Mean-Reverting Square Root Process , 2005 .
[6] Mireille Bossy,et al. Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence , 2006 .
[7] Patrick Cheridito,et al. Market price of risk speci-fications for a ne models: theory and evidence , 2004 .
[8] Ioannis Karatzas,et al. Brownian Motion and Stochastic Calculus , 1987 .
[9] M. Hutzenthaler,et al. Numerical Approximations of Stochastic Differential Equations With Non-globally Lipschitz Continuous Coefficients , 2012, 1203.5809.
[10] Paul Glasserman,et al. Monte Carlo Methods in Financial Engineering , 2003 .
[11] L. Szpruch,et al. An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process , 2012, Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences.
[12] D. Dijk,et al. A comparison of biased simulation schemes for stochastic volatility models , 2008 .
[13] F. Delbaen,et al. Convergence of discretized stochastic (interest rate) processes with stochastic drift term , 1998 .
[14] S. Ross,et al. A theory of the term structure of interest rates'', Econometrica 53, 385-407 , 1985 .
[15] Cornelis W. Oosterlee,et al. The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation , 2013 .
[16] Mireille Bossy,et al. An efficient discretisation scheme for one dimensional SDEs with a diffusion coefficient function of the form |x|^a, a in [1/2,1) , 2006 .
[17] P. Kloeden,et al. Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients , 2009, Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences.
[18] Cornelis W. Oosterlee,et al. On the Heston Model with Stochastic Interest Rates , 2010, SIAM J. Financial Math..
[19] Rehez Ahlip,et al. Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates , 2013 .
[20] Andrew M. Stuart,et al. Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations , 2002, SIAM J. Numer. Anal..
[21] Andreas Neuenkirch,et al. First order strong approximations of scalar SDEs defined in a domain , 2014, Numerische Mathematik.
[22] Aurélien Alfonsi,et al. Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process , 2013 .
[23] P. Kloeden,et al. Numerical Solution of Stochastic Differential Equations , 1992 .
[24] Aurélien Alfonsi,et al. On the discretization schemes for the CIR (and Bessel squared) processes , 2005, Monte Carlo Methods Appl..
[25] Vladimir V. Piterbarg,et al. Moment explosions in stochastic volatility models , 2005, Finance and Stochastics.
[26] S. Liberty,et al. Existence of Solutions of a Riccati Differential System from a General Cumulant Control Problem , 2011 .